English

Lyapunov exponents for some isotropic random matrix ensembles

Probability 2020-01-09 v1

Abstract

A random matrix with rows distributed as a function of their length is said to be isotropic. When these distributions are Gaussian, beta type I, or beta type II, previous work has, from the viewpoint of integral geometry, obtained the explicit form of the distribution of the determinant. We use these result to evaluate the sum of the Lyapunov spectrum of the corresponding random matrix product, and we further give explicit expressions for the largest Lyapunov exponent. Generalisations to the case of complex or quaternion entries are also given. For standard Gaussian matrices XX, the full Lyapunov spectrum for products of random matrices IN+1cXI_N + {1 \over c} X is computed in terms of a generalised hypergeometric function in general, and in terms of a single single integral involving a modified Bessel function for the largest Lyapunov exponent.

Keywords

Cite

@article{arxiv.1805.05529,
  title  = {Lyapunov exponents for some isotropic random matrix ensembles},
  author = {P. J. Forrester and Jiyuan Zhang},
  journal= {arXiv preprint arXiv:1805.05529},
  year   = {2020}
}

Comments

23 pages

R2 v1 2026-06-23T01:55:07.206Z