Preliminaries

Probability Theory

Lawrence C. Evans, An Introduction to Stochastic Differential Equations

Eigenvalues

Distribution of Eigenvalues

Ioana Dumitriu and Alan Edelman, Matrix Models for Beta Ensembles

Wigner's Surmise

Thomas Guhr, Axel Muller–Groeling, and Hans A. Weidenmuller, Random Matrix Theories in Quantum Physics: Common Concepts

Riemann Zeta Function and the GUE

Alan Edelman and Per-Olof Persson, Numerical Methods for Eigenvalue Distribution of Random Matrices

Tracy Widom

Craig A. Tracy and Harold Widom, On Orthogonal and Symplectic Matrix Ensembles

Alan Edelman and Per-Olof Persson; Numerical Methods for Eigenvalue Distribution of Random Matrices

Jinho Baik, Percy Deift, Kurt Johansson; On the Distribution of the Length of the Longest Increasing Subsequence of Random Permutations

Gaussian Regularization

Shattering Pseudospectrum

Jess Banks, Jorge Garza Vargas, Archit Kulkarni, and Nikhil Srivastava; Pseudospectral Shattering, the Sign Function, and Diagonalization in Nearly Matrix Multiplication Time

RADM Algorithm

E. Brian Davies; Approximate Diagonalization

Jess Banks, Archit Kulkarni, Satyaki Mukherjee, and Nikhil Srivastava; Gaussian Regularization of the Pseudospectrum and Davies' Conjecture

Stochastic Processes

Dyson Brownian Motion

Terence Tao; 254A, Notes 3b: Brownian motion and Dyson Brownian motion

Ginibre Process

Alan Edelman, Eric Kostlan, Michael Shub; How many Eigenvalues of a Random Matrix