English

Precise large deviation asymptotics for products of random matrices

Probability 2019-07-05 v1

Abstract

Let (gn)n1(g_{n})_{n\geq 1} be a sequence of independent identically distributed d×dd\times d real random matrices with Lyapunov exponent γ\gamma. For any starting point xx on the unit sphere in Rd\mathbb R^d, we deal with the norm Gnx | G_n x | , where Gn:=gng1G_{n}:=g_{n} \ldots g_{1}. The goal of this paper is to establish precise asymptotics for large deviation probabilities P(logGnxn(q+l))\mathbb P(\log | G_n x | \geq n(q+l)), where q>γq>\gamma is fixed and ll is vanishing as nn\to \infty. We study both invertible matrices and positive matrices and give analogous results for the couple (Xnx,logGnx)(X_n^x,\log | G_n x |) with target functions, where Xnx=Gnx/GnxX_n^x= G_n x /| G_n x |. As applications we improve previous results on the large deviation principle for the matrix norm Gn\|G_n\| and obtain a precise local limit theorem with large deviations.

Keywords

Cite

@article{arxiv.1907.02456,
  title  = {Precise large deviation asymptotics for products of random matrices},
  author = {Hui Xiao and Ion Grama and Quansheng Liu},
  journal= {arXiv preprint arXiv:1907.02456},
  year   = {2019}
}
R2 v1 2026-06-23T10:12:25.034Z