Random matrix theory and integrable systems

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This article discusses the interaction between random matrix theory (RMT) and integrable theory, leading to ordinary and partial differential equations (PDEs) for the eigenvalue distribution of random matrix models of size n and the transition probabilities of non-intersecting Brownian motion models, for finite n and for n → ∞. It first provides an overview of the connection between the theory of orthogonal polynomials and the KP-hierarchy in integrable systems before examining matrix models and the Virasoro constraints. It then considers multiple orthogonal polynomials, taking into account non-intersecting Brownian motions on ℝ (Dyson’s Brownian motions), a moment matrix for several weights, Virasoro constraints, and a PDE for non-intersecting Brownian motions. It also analyses critical diffusions, with particular emphasis on the Airy process, the Pearcey process, and Airy process with wanderers. Finally, it describes the Tacnode process, along with kernels and p-reduced KP-hierarchy.