Blogs about: Ornstein Uhlenbeck Process

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Some notes on Bakry-Emery theory

[These are notes intended mostly for myself, as these topics are useful in random matrix theory, but may be of interest to some readers also. -T.] One of the most fundamental partial differential equa… more →

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Some notes on Bakry-Emery theory — 5 comments

Terence Tao wrote 3 months ago: [These are notes intended mostly for myself, as these topics are useful in random matrix theory, but … more →

Tags: Expository, math.AP, math.PR, Bakry-Emery theory, heat equation, random matrices

254A, Notes 3b: Brownian motion and Dyson Brownian motion — 42 comments

Terence Tao wrote 3 years ago: One theme in this course will be the central nature played by the gaussian random variables . Gaussi … more →

Tags: 254A - random matrices, math.AP, math.PR, math.SP, Brownian Motion, Dyson Brownian motion, Gue!.., heat equation, Johansson formula

254A, Notes 2: The central limit theorem — 54 comments

Terence Tao wrote 3 years ago: Consider the sum of iid real random variables of finite mean and variance for some . Then the sum ha … more →

Tags: 254A - random matrices, math.PR, Berry-Esseen theorem, central limit theorem, Lindeberg replacement trick, Stein's method


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