Large deviations for the largest eigenvalue of an Hermitian Brownian motion

Details Large deviations for the largest eigenvalue of an Hermitian Brownian motion Large deviations for the largest eigenvalue of an Hermitian Brownian motion

2011-02-15

arxiv.org/abs/1102.2970v1

Mathematics

Probability

Scientific paper

We establish a large deviation principle for the process of the largest
eigenvalue of an Hermitian Brownian motion. By a contraction principle, we
recover the LDP for the largest eigenvalue of a rank one deformation of the
GUE.

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