Séminaire de Probabilités

Large deviations for the top eigenvalue of deformed random matrices

by Benjamin McKenna

Salle Pellos (IMT)

Salle Pellos



In recent years, the few classical results in large deviations for random matrices have been complemented by a variety of new ones, in both the math and physics literatures, whose proofs leverage connections with Harish-Chandra/Itzykson/Zuber integrals. We present one such result, focusing on extreme eigenvalues of deformed sample-covariance and Wigner random matrices. This confirms recent formulas of Maillard (2020) in the physics literature, precisely locating a transition point whose analogue in non-deformed models is not yet fully understood. Joint work with Jonathan Husson.