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Lyapunov exponents for products of complex Gaussian random matrices

Probability 2015-06-16 v1 Mathematical Physics math.MP

Abstract

The exact value of the Lyapunov exponents for the random matrix product PN=ANAN1...A1P_N = A_N A_{N-1}...A_1 with each Ai=Σ1/2GicA_i = \Sigma^{1/2} G_i^{\rm c}, where Σ\Sigma is a fixed d×dd \times d positive definite matrix and GicG_i^{\rm c} a d×dd \times d complex Gaussian matrix with entries standard complex normals, are calculated. Also obtained is an exact expression for the sum of the Lyapunov exponents in both the complex and real cases, and the Lyapunov exponents for diffusing complex matrices.

Keywords

Cite

@article{arxiv.1206.2001,
  title  = {Lyapunov exponents for products of complex Gaussian random matrices},
  author = {Peter J. Forrester},
  journal= {arXiv preprint arXiv:1206.2001},
  year   = {2015}
}

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15 pages