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Random Matrices and Their Applications

Edited by: J. E. Cohen
Available Formats:
Softcover ISBN: 978-0-8218-5044-2
Product Code: CONM/50
358 pp
List Price: $58.00 MAA Member Price:$52.20
AMS Member Price: $46.40 Electronic ISBN: 978-0-8218-7635-0 Product Code: CONM/50.E 358 pp List Price:$54.00
MAA Member Price: $48.60 AMS Member Price:$43.20
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List Price: $87.00 MAA Member Price:$78.30
AMS Member Price: $69.60 Click above image for expanded view Random Matrices and Their Applications Edited by: J. E. Cohen Available Formats:  Softcover ISBN: 978-0-8218-5044-2 Product Code: CONM/50 358 pp  List Price:$58.00 MAA Member Price: $52.20 AMS Member Price:$46.40
 Electronic ISBN: 978-0-8218-7635-0 Product Code: CONM/50.E 358 pp
 List Price: $54.00 MAA Member Price:$48.60 AMS Member Price: $43.20 Bundle Print and Electronic Formats and Save! This product is available for purchase as a bundle. Purchasing as a bundle enables you to save on the electronic version. List Price:$87.00
MAA Member Price: $78.30 AMS Member Price:$69.60
• Book Details

Contemporary Mathematics
Volume: 501986
MSC: Primary 60;

These twenty-six expository papers on random matrices and products of random matrices survey the major results of the last thirty years. They reflect both theoretical and applied concerns in fields as diverse as computer science, probability theory, mathematical physics, and population biology. Many of the articles are tutorial, consisting of examples, sketches of proofs, and interpretations of results. They address a wide audience of mathematicians and scientists who have an elementary knowledge of probability theory and linear algebra, but not necessarily any prior exposure to this specialized area. More advanced articles, aimed at specialists in allied areas, survey current research with references to the original literature.

The book's major topics include the computation and behavior under perturbation of Lyapunov exponents and the spectral theory of large random matrices. The applications to mathematical and physical sciences under consideration include computer image generation, card shuffling, and other random walks on groups, Markov chains in random environments, the random Schroedinger equations and random waves in random media.

Most of the papers were originally presented at an AMS-IMS-SIAM Joint Summer Research Conference held at Bowdoin College in June, 1984. Of special note are the papers by Kotani on random Schroedinger equations, Yin and Bai on spectra for large random matrices, and Newman on the relations between the Lyapunov and eigenvalue spectra.

• I. Basic theory of products of random matrices [ MR 841077 ]
• A. Overviews [ MR 841077 ]
• Joseph C. Watkins - Limit theorems for products of random matrices: a comparison of two points of view [ MR 841078 ]
• Joel E. Cohen, Harry Kesten and Charles M. Newman - Oseledec’s multiplicative ergodic theorem: a proof [ MR 841079 ]
• Y. Guivarc’h and A. Raugi - Products of random matrices: convergence theorems [ MR 841080 ]
• F. Ledrappier - Examples of applications of Oseledec’s theorem [ MR 841081 ]
• B. Perturbation theory [ MR 841077 ]
• Yuri Kifer - Multiplicative ergodic theorems for random diffeomorphisms [ MR 841082 ]
• Steve Pincus - Furstenberg-Kesten results: asymptotic analysis [ MR 841083 ]
• Eric V. Slud - Stability of exponential growth rate for randomly perturbed random matrix products via Markov-chain arguments [ MR 841084 ]
• Volker Wihstutz - Representation, positivity and expansion of Lyapunov exponents for linear stochastic systems [ MR 841085 ]
• C. Theory of matrix products [ MR 841077 ]
• Maciej Wojtkowski - On uniform contraction generated by positive matrices [ MR 841086 ]
• D. Connections with spectral theory [ MR 841077 ]
• C. M. Newman - Lyapunov exponents for some products of random matrices: exact expressions and asymptotic distributions [ MR 841087 ]
• II. Spectral theory of random matrices [ MR 841077 ]
• Chii-Ruey Hwang - A brief survey on the spectral radius and the spectral distribution of large random matrices with i.i.d. entries [ MR 841088 ]
• Jack W. Silverstein - Eigenvalues and eigenvectors of large-dimensional sample covariance matrices [ MR 841089 ]
• Y. Q. Yin and Z. D. Bai - Spectra for large-dimensional random matrices [ MR 841090 ]
• III. Applications to computer science, probability and statistics of products of random matrices [ MR 841077 ]
• A. Applications to computer science and statistics [ MR 841077 ]
• Persi Diaconis and Mehrdad Shahshahani - Products of random matrices and computer image generation [ MR 841091 ]
• Persi Diaconis and Mehrdad Shahshahani - Products of random matrices as they arise in the study of random walks on groups [ MR 841092 ]
• B. Applications to Markov chains in random environments [ MR 841077 ]
• Robert Cogburn - On products of random stochastic matrices [ MR 841093 ]
• M. Rosenblatt - Convolution sequences of measures on the semigroup of stochastic matrices [ MR 841094 ]
• Tze Chien Sun - Random walks on semigroups [ MR 841095 ]
• Other appliations to probability theory [ MR 841077 ]
• Thomas Kaijser - A note on random systems with complete connections and their applications to products of random matrices [ MR 841096 ]
• Eric S. Key - Using random matrices to give recurrence and transience criteria for random walk in a random environment [ MR 841097 ]
• Gérard Letac - A contraction principle for certain Markov chains and its applications [ MR 841098 ]
• IV. Scientific applications of random matrices and their products [ MR 841077 ]
• S. Kotani - Lyapunov exponents and spectra for one-dimensional random Schrödinger operators [ MR 841099 ]
• Robert S. Maier - The density of states of random Schroedinger operators [ MR 841100 ]
• M. L. Mehta - Random matrices in nuclear physics and number theory [ MR 841101 ]
• George C. Papanicolaou - Random matrices and waves in random media [ MR 841102 ]
• Shripad Tuljapurkar - Demographic applications of random matrix products [ MR 841103 ]
• Supplements [ MR 841077 ]
• Joel E. Cohen, Harry Kesten and Charles M. Newman - Open problems [ MR 841104 ]
• Joel E. Cohen - Products of random matrices and related topics in mathematics and science: a bibliography [ MR 841105 ]
• Request Review Copy
• Get Permissions
Volume: 501986
MSC: Primary 60;

These twenty-six expository papers on random matrices and products of random matrices survey the major results of the last thirty years. They reflect both theoretical and applied concerns in fields as diverse as computer science, probability theory, mathematical physics, and population biology. Many of the articles are tutorial, consisting of examples, sketches of proofs, and interpretations of results. They address a wide audience of mathematicians and scientists who have an elementary knowledge of probability theory and linear algebra, but not necessarily any prior exposure to this specialized area. More advanced articles, aimed at specialists in allied areas, survey current research with references to the original literature.

The book's major topics include the computation and behavior under perturbation of Lyapunov exponents and the spectral theory of large random matrices. The applications to mathematical and physical sciences under consideration include computer image generation, card shuffling, and other random walks on groups, Markov chains in random environments, the random Schroedinger equations and random waves in random media.

Most of the papers were originally presented at an AMS-IMS-SIAM Joint Summer Research Conference held at Bowdoin College in June, 1984. Of special note are the papers by Kotani on random Schroedinger equations, Yin and Bai on spectra for large random matrices, and Newman on the relations between the Lyapunov and eigenvalue spectra.

• I. Basic theory of products of random matrices [ MR 841077 ]
• A. Overviews [ MR 841077 ]
• Joseph C. Watkins - Limit theorems for products of random matrices: a comparison of two points of view [ MR 841078 ]
• Joel E. Cohen, Harry Kesten and Charles M. Newman - Oseledec’s multiplicative ergodic theorem: a proof [ MR 841079 ]
• Y. Guivarc’h and A. Raugi - Products of random matrices: convergence theorems [ MR 841080 ]
• F. Ledrappier - Examples of applications of Oseledec’s theorem [ MR 841081 ]
• B. Perturbation theory [ MR 841077 ]
• Yuri Kifer - Multiplicative ergodic theorems for random diffeomorphisms [ MR 841082 ]
• Steve Pincus - Furstenberg-Kesten results: asymptotic analysis [ MR 841083 ]
• Eric V. Slud - Stability of exponential growth rate for randomly perturbed random matrix products via Markov-chain arguments [ MR 841084 ]
• Volker Wihstutz - Representation, positivity and expansion of Lyapunov exponents for linear stochastic systems [ MR 841085 ]
• C. Theory of matrix products [ MR 841077 ]
• Maciej Wojtkowski - On uniform contraction generated by positive matrices [ MR 841086 ]
• D. Connections with spectral theory [ MR 841077 ]
• C. M. Newman - Lyapunov exponents for some products of random matrices: exact expressions and asymptotic distributions [ MR 841087 ]
• II. Spectral theory of random matrices [ MR 841077 ]
• Chii-Ruey Hwang - A brief survey on the spectral radius and the spectral distribution of large random matrices with i.i.d. entries [ MR 841088 ]
• Jack W. Silverstein - Eigenvalues and eigenvectors of large-dimensional sample covariance matrices [ MR 841089 ]
• Y. Q. Yin and Z. D. Bai - Spectra for large-dimensional random matrices [ MR 841090 ]
• III. Applications to computer science, probability and statistics of products of random matrices [ MR 841077 ]
• A. Applications to computer science and statistics [ MR 841077 ]
• Persi Diaconis and Mehrdad Shahshahani - Products of random matrices and computer image generation [ MR 841091 ]
• Persi Diaconis and Mehrdad Shahshahani - Products of random matrices as they arise in the study of random walks on groups [ MR 841092 ]
• B. Applications to Markov chains in random environments [ MR 841077 ]
• Robert Cogburn - On products of random stochastic matrices [ MR 841093 ]
• M. Rosenblatt - Convolution sequences of measures on the semigroup of stochastic matrices [ MR 841094 ]
• Tze Chien Sun - Random walks on semigroups [ MR 841095 ]
• Other appliations to probability theory [ MR 841077 ]
• Thomas Kaijser - A note on random systems with complete connections and their applications to products of random matrices [ MR 841096 ]
• Eric S. Key - Using random matrices to give recurrence and transience criteria for random walk in a random environment [ MR 841097 ]
• Gérard Letac - A contraction principle for certain Markov chains and its applications [ MR 841098 ]
• IV. Scientific applications of random matrices and their products [ MR 841077 ]
• S. Kotani - Lyapunov exponents and spectra for one-dimensional random Schrödinger operators [ MR 841099 ]
• Robert S. Maier - The density of states of random Schroedinger operators [ MR 841100 ]
• M. L. Mehta - Random matrices in nuclear physics and number theory [ MR 841101 ]
• George C. Papanicolaou - Random matrices and waves in random media [ MR 841102 ]
• Shripad Tuljapurkar - Demographic applications of random matrix products [ MR 841103 ]
• Supplements [ MR 841077 ]
• Joel E. Cohen, Harry Kesten and Charles M. Newman - Open problems [ MR 841104 ]
• Joel E. Cohen - Products of random matrices and related topics in mathematics and science: a bibliography [ MR 841105 ]
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