The paper studies the spectral properties of large Wigner, band and sample covariance random matrices with heavy tails of the marginal distributions of matrix entries.

Recently Johansson and Johnstone proved that the distribution of the (properly rescaled) largest principal component of the complex (real) Wishart matrix $ X^* \* X (X^t \*X) $ converges to the Tracy-Widom law as $ n, p $ (the dimensions of $ X $) tend to $ \infty $ in some ratio $ n/p \to \gamma>0. $ We extend these results in two directions. First of all, we prove that the joint distribution of the first, second, third, etc. eigenvalues of a Wishart matrix converges (after a proper rescaling) to the Tracy-Widom distribution. Second of all, we explain how the combinatorial machinery developed for Wigner matrices allows to extend the results by Johansson and Johnstone to the case of $ X $ with non-Gaussian entries, provided $ n-p =O(p^{1/3}) . $ We also prove that $ \lambda_{max} \leq (n^{1/2}+p^{1/2})^2 +O(p^{1/2}\*\log(p)) $ (a.e.) for general $ \gamma >0.$

We extend the main result of the companion paper math-ph/0212063 "Janossy Densities I. Determinantal Ensembles" (joint with Alexei Borodin) to the case of the pfaffian ensembles.

We study translation-invariant determinantal random point fields on the real line. We prove, under quite general conditions, that the smallest nearest spacings between the particles in a large interval have Poisson statistics as the length of the interval goes to infinity.

We prove that under fairly general conditions properly rescaled determinantal random point field converges to a generalized Gaussian random process.

We study large Wigner random matrices in the case when the marginal distributions of matrix entries have heavy tails. We prove that the largest eigenvalues of such matrices have Poisson statistics.

We discuss CLT for the global and local linear statistics of random matrices from classical compact groups. The main part of our proofs are certain combinatorial identities much in the spirit of works by Kac and Spohn.

We consider a sparse random subraph of the $n$-cube where each edge appears independently with small probability $p(n) =O(n^{-1+o(1)})$. In the most interesting regime when $p(n)$ is not exponentially small we prove that the largest eigenvalue of the graph is asymtotically equal to the square root of the maximum degree.

We explicitly calculate Janossy densities for a special class of finite determinantal point processes with several types of particles introduced by Pr\"ahofer and Spohn and, in the full generality, by Johansson in connection with the analysis of polynuclear growth models. The results of our paper generalize the theorem we proved earlier with Borodin about the Janossy densities in biorthogonal ensembles. In particular, our results can be applied to coupled random matrices.

We obtain the recursive identities for the joint moments of the traces of the powers of the resolvent for Gaussian ensembles of random matrices at the soft and hard edges of the spectrum. We also discuss the possible ways to extend these results to the non-Gaussian case.