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 with each , where is a fixed positive definite matrix and a 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}
}
Comments
15 pages