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Computing the Tracy-Widom Distribution for Arbitrary > 0

We compute the Tracy-Widom distribution describing the asymptotic distribution of the largest eigenvalue of a large random matrix by solving a boundary-value problem posed by Bloemendal in his Ph.D. Thesis (2011). The distribution is computed in two ways. The first method is a second-order finite-di...

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Bibliographic Details
Published in:	Symmetry, Integrability and Geometry: Methods and Applications
Date:	2024
ISSN:	1815-0659
Main Authors:	Trogdon, Thomas, Zhang, Yiting
Format:	Article
Language:	English
Published:	Інститут математики НАН України 2024
Online Access:	https://nasplib.isofts.kiev.ua/handle/123456789/212118
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Journal Title:	Digital Library of Periodicals of National Academy of Sciences of Ukraine
Cite this:	Computing the Tracy-Widom Distribution for Arbitrary > 0. Thomas Trogdon and Yiting Zhang. SIGMA 20 (2024), 005, 26 pages

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Digital Library of Periodicals of National Academy of Sciences of Ukraine

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