{"paper":{"title":"Numerical solution of Dyson Brownian motion and a sampling scheme for invariant matrix ensembles","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.NA","authors_text":"Govind Menon, Xingjie Helen Li","submitted_at":"2013-06-05T17:23:32Z","abstract_excerpt":"The Dyson Brownian Motion (DBM) describes the stochastic evolution of $N$ points on the line driven by an applied potential, a Coulombic repulsion and identical, independent Brownian forcing at each point. We use an explicit tamed Euler scheme to numerically solve the Dyson Brownian motion and sample the equilibrium measure for non-quadratic potentials. The Coulomb repulsion is too singular for the SDE to satisfy the hypotheses of rigorous convergence proofs for tamed Euler schemes. Nevertheless, in practice the scheme is observed to be stable for time steps of O(1/N^2) and to relax exponentia"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1306.1179","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}