The triangle law for Lyapunov exponents of large random matrices (Q1189203)
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scientific article; zbMATH DE number 54729
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| English | The triangle law for Lyapunov exponents of large random matrices |
scientific article; zbMATH DE number 54729 |
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The triangle law for Lyapunov exponents of large random matrices (English)
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26 September 1992
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For i.i.d. \(n\times n\) matrices as \(n\) approaches infinity where the distribution of entries has mean 1 and variance \(1/n\), bounded density, and a finite fourth moment, it is proved that the distribution of exponentials of the Lyapunov exponents (which are singular values of products of random matrices) approaches a triangle law distribution and the distribution of the Lyapunov exponents approaches an exponential distribution.
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random matrix
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Lyapunov exponents
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triangle law distribution
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0.8182246088981628
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0.8069519400596619
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0.805772602558136
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