An introduction to random matrix theory

Authors :: Borot, Gaëtan
Source :: Mong. J. Math. 20 1 (2016) 5--52
Publication Year :: 2017
Abstract: These are lectures notes for a 4h30 mini-course held in Ulaanbaatar, National University of Mongolia, August 5-7th 2015, at the summer school "Stochastic Processes and Applications". It aims at presenting an introduction to basic results of random matrix theory and some of its motivations, targeted to a large panel of students coming from statistics, finance, etc. Only a small background in probability is required.<br />Comment: 55 pages, 10 figures