2022/03/04 by Fleermann, Michael, Kirsch, Werner · 1 citation
#FOS: Mathematics #Probability (math.PR)
paper · doi:10.48550/arxiv.2203.02551
In this survey article, we give an introduction to two methods of proof in random matrix theory: The method of moments and the Stieltjes transform method. We thoroughly develop these methods and apply them to show both the semicircle law and the Marchenko-Pastur law for random matrices with independent entries. The material is presented in a pedagogical manner and is suitable for anyone who has followed a course in measure-theoretic probability theory.