Dynamics of the McKean-Vlasov Equation
Chan, Terence
Ann. Probab., Tome 22 (1994) no. 4, p. 431-441 / Harvested from Project Euclid
This note studies the deterministic flow of measures which is the limiting case as $n \rightarrow \infty$ of Dyson's model of the motion of the eigenvalues of random symmetric $n \times n$ matrices. Though this flow is nonlinear, highly singular and apparently of Wiener-Hopf type, it may be solved explicitly without recourse to Wiener-Hopf theory. The solution greatly clarifies the role of the famous Wigner semicircle law.
Publié le : 1994-01-14
Classification:  Eigenvalues of random matrices,  Wigner semicircle law,  measure-valued diffusion,  McKean-Vlasov equation,  60F05,  60G57,  45E10,  45K05
@article{1176988866,
     author = {Chan, Terence},
     title = {Dynamics of the McKean-Vlasov Equation},
     journal = {Ann. Probab.},
     volume = {22},
     number = {4},
     year = {1994},
     pages = { 431-441},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176988866}
}
Chan, Terence. Dynamics of the McKean-Vlasov Equation. Ann. Probab., Tome 22 (1994) no. 4, pp.  431-441. http://gdmltest.u-ga.fr/item/1176988866/