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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

5 votes

Intuition for Haar measure of random matrix

Dear Jiahao Chen, if you're interested in explicit expressions of the Haar measure you might want to look at the paper http://arxiv.org/abs/1103.3408 which contains simple parametrizations of U(N) and …
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