On the largest Lyapunov exponent for products of Gaussian matrices (Q478421): Difference between revisions
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| English | On the largest Lyapunov exponent for products of Gaussian matrices |
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On the largest Lyapunov exponent for products of Gaussian matrices (English)
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3 December 2014
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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 to compare the Lyapunov exponents in models with a spike and no spikes.
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Lyapunov exponent
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random matrix products
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spiked models
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universality
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Gaussian matrices
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