Journal article

Lyapunov Exponents for Some Isotropic Random Matrix Ensembles

PJ Forrester, Jiyuan Zhang

JOURNAL OF STATISTICAL PHYSICS | SPRINGER | Published : 2020

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 X, the full Lyapunov spectrum for products of random matrices IN+1cX is computed in terms of a generalised hypergeomet..

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