Tail universality of Gaussian multiplicative chaos

28 October 2019
15:45
MO DICK WONG
Abstract

Abstract: Gaussian multiplicative chaos (GMC) has attracted a lot of attention in recent years due to its applications in many areas such as Liouville CFT and random matrix theory, but despite its importance not much has been known about its distributional properties. In this talk I shall explain the study of the tail probability of subcritical GMC and establish a precise formula for the leading order asymptotics, resolving a conjecture of Rhodes and Vargas.

  • Stochastic Analysis & Mathematical Finance Seminars