s Freie Wahrscheinlichkeit Lehre

Prof. Dr. Roland Speicher

Dr. Marwa Banna

Ricardo Schnur

Random matrices

(Summer Semester 2018)

Lecture Announcement

The default language of the course is English, unless everybody speaks German.



Here are some typed up lecture notes. Note that they will be updated infrequently and may contain errors.


The final examination will be a written exam and will take place on Tuesday, 07 August, from 10.15 - 13.15 in lecture hall IV. Please be there ahead of time!



Course description

Random matrices are matrices where the entries are chosen randomly. Surprisingly, it turns out that many
questions on random matrices, in particular on the structure of their eigenvalues, has a deterministic answer
when the size of the matrices tends to infinitiy. During the last few decades random matrix theory has become
a centrepiece of modern mathematics, with relations to many different mathematical fields, as well as
applications in applied subjects like wireless communications, data compression or financial mathematics.

The course will give an introduction into the theory of random matrices and will cover subjects like:


Prerequisites are the basic courses on Analyis and Linear Algebra. In particular, knowledge on measure and
integration theory on the level of our Analysis 3 classes is assumed.
Background on stochastics is helpful, but not required.



Other lectures and lecture notes on random matrices

Updated: 5 September 2018 by Tobias Mai