nLab
random matrix

Contents

Idea

A random matrix is a matrix-valued random variable. Random matrix theory studies mainly the behaviour of eigenvalues and various functions of random matrices; as such it has large importance in physics.

References

General

Review:

See also:

In string/M-theory

Random matrix theory applies to black holes in string theory:

via the SYK model:

via the BFSS matrix model:

via AdS/CFT for Jackiw-Teitelboim gravity: