On the largest Lyapunov exponent for products of Gaussian matrices
Probability
2015-06-16 v2 Mathematical Physics
math.MP
Abstract
The paper provides a new integral formula for the largest Lyapunov exponent of Gaussian matrices, which is valid in the real, complex and quaternion-valued cases. This formula is applied to derive asymptotic expressions for the largest Lyapunov exponent when the size of the matrix is large and compare the Lyapunov exponents in models with a spike and no spikes.
Keywords
Cite
@article{arxiv.1306.6576,
title = {On the largest Lyapunov exponent for products of Gaussian matrices},
author = {Vladislav Kargin},
journal= {arXiv preprint arXiv:1306.6576},
year = {2015}
}
Comments
15 pages, 4 figures, accepted to the Journal of Statistical Physics