ERC Advanced Grant · 2019
Large Deviations in Random Matrix Theory
Large deviations theory develops the art of estimating the probability of rare events. The classical theory concentrates on the study of the probability of deviating from the behavior predicted by the law of large numbers, namely the probability that the empirical mean of independent variables differs from its expectation. Such a classical framework does not apply in random matrix theory where one deals with complicated functions of independent variables or strongly interacting random variables, for instance the eigenvalues of a matrix with independent entries. During the last twenty years, important advances allowed to analyze large deviations for a few specific models of random matrices,…
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