Random walkers versus random crowds: diffusion of large matrices
Ewa Gudowska-Nowak, Romuald J. Janik, Jerzy Jurkiewicz, Maciej A. Nowak, Waldemar Wieczorek
Abstract
We briefly review the random matrix theory for large N by N matrices viewed as free random variables in a context of stochastic diffusion. We establish a surprising link between the spectral properties of matrix-valued multiplicative diffusion processes for hermitian and unitary ensembles.
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