Séminaire de Probabilités commun ICJ/UMPA

Large deviation estimate for the largest eigenvalue of a random matrix.

Name: Large deviation estimate for the largest eigenvalue of a random matrix.
Start: 2022-10-06T14:00:00+02:00
End: 2022-10-06T15:00:00+02:00
Location: ICJ - bâtiment Braconnier - salle Fokko du Cloux

par Raphael Ducatez

jeudi 6 oct. 2022, 14:00 → 15:00 Europe/Paris

ICJ - bâtiment Braconnier - salle Fokko du Cloux

Description

We compute large deviation estimates of probability for the largest eigenvalue of a Wigner matrix with sub-Gaussian entries. We improve the results from the work of F.Augeri, A Guionnet, J Husson. to obtain an estimate valid on the whole real line. The main tools here is the matrix and spherical integral that plays a similar role as a Laplace transform.