Stochastic differential equations related to random matrix theory

Abstract

In this note we review recent results on existence and uniqueness of solutions of infinite-dimensional stochastic differential equations describing interacting Brownian motions on ${\mathbb{R}}^d$.

arXiv comment12 pages, to appear in RIMS bessatsu

References in corpus (3)

• Continuum limits of random matrices and the Brownian carousel
• Universality of the Pearcey process
• Infinite-dimensional stochastic differential equations arising from Airy random point fields