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One theme in this course will be the central nature played by the gaussian random variables ${X \equiv N(\mu,\sigma^2)}$. Gaussians have an incredibly rich algebraic structure, and many results about general random variables can be established by first using this structure to verify the result for gaussians, and then using universality techniques (such as the Lindeberg exchange strategy) to extend the results to more general variables.

One way to exploit this algebraic structure is to continuously deform the variance ${t := \sigma^2}$ from an initial variance of zero (so that the random variable is deterministic) to some final level ${T}$. We would like to use this to give a continuous family ${t \mapsto X_t}$ of random variables ${X_t \equiv N(\mu, t)}$ as ${t}$ (viewed as a “time” parameter) runs from ${0}$ to ${T}$.

At present, we have not completely specified what ${X_t}$ should be, because we have only described the individual distribution ${X_t \equiv N(\mu,t)}$ of each ${X_t}$, and not the joint distribution. However, there is a very natural way to specify a joint distribution of this type, known as Brownian motion. In these notes we lay the necessary probability theory foundations to set up this motion, and indicate its connection with the heat equation, the central limit theorem, and the Ornstein-Uhlenbeck process. This is the beginning of stochastic calculus, which we will not develop fully here.

We will begin with one-dimensional Brownian motion, but it is a simple matter to extend the process to higher dimensions. In particular, we can define Brownian motion on vector spaces of matrices, such as the space of ${n \times n}$ Hermitian matrices. This process is equivariant with respect to conjugation by unitary matrices, and so we can quotient out by this conjugation and obtain a new process on the quotient space, or in other words on the spectrum of ${n \times n}$ Hermitian matrices. This process is called Dyson Brownian motion, and turns out to have a simple description in terms of ordinary Brownian motion; it will play a key role in several of the subsequent notes in this course.