2026_09_23

A new preprint out: Efficient computation of the asymptotics of extensive-rank HCIZ integrals. We introduce an efficient numerical scheme (based on a particle discretization) to solve the boundary-value problem shown by Matytsin (1994) to be the limit of extensive-rank HCIZ integrals. We prove its convergence, and use it to compute these asymptotics for generic densities for the first time. This is a joint work with Jean-Christophe Mourrat (ENS Lyon).