Explicit invariant measures for products of random matrices

DOI10.1090/S0002-9947-08-04316-XzbMATH Open1153.15028arXivmath-ph/0507069MaRDI QIDQ3508024FDOQ3508024

Jens Marklof, Yves Tourigny, Lech Wołowski

Publication date: 27 June 2008

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Abstract: We construct explicit invariant measures for a family of infinite products of random, independent, identically-distributed elements of SL(2,C). The matrices in the product are such that one entry is gamma-distributed along a ray in the complex plane. When the ray is the positive real axis, the products are those associated with a continued fraction studied by Letac and Seshadri [Z. Wahr. Verw. Geb. 62 (1983) 485-489], who showed that the distribution of the continued fraction is a generalised inverse Gaussian. We extend this result by finding the distribution for an arbitrary ray in the complex right-half plane, and thus compute the corresponding Lyapunov exponent explicitly. When the ray lies on the imaginary axis, the matrices in the infinite product coincide with the transfer matrices associated with a one-dimensional discrete Schroedinger operator with a random, gamma-distributed potential. Hence, the explicit knowledge of the Lyapunov exponent may be used to estimate the (exponential) rate of localisation of the eigenstates.

Full work available at URL: https://arxiv.org/abs/math-ph/0507069

zbMATH Keywords

continued fractionproducts of random matrices

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Continued fractions and generalizations (11J70)

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Cited In (20)

• The Lyapunov exponent of products of random \(2\times 2\) matrices close to the identity
• Change of measure technique in characterizations of the gamma and Kummer distributions
• Random continued fractions with beta-hypergeometric distribution
• CLT with explicit variance for products of random singular matrices related to Hill’s equation
• On the stability of planar randomly switched systems
• Padé approximants of random Stieltjes series
• Random Lie group actions on compact manifolds: a perturbative analysis
• Excursions of diffusion processes and continued fractions
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• Stationary measures for projective transformations: the Blackwell and Furstenberg measures
• Independence properties of the Matsumoto-Yor type
• Maximal Lyapunov exponents for random matrix products
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• Explicit stationary distributions for compositions of random functions and products of random matrices
• A central limit theorem with explicit Lyapunov exponent and variance for products of \(2\times 2\) random non-invertible matrices
• Lyapunov exponent, universality and phase transition for products of random matrices
• On the largest Lyapunov exponent for products of Gaussian matrices
• Lyapunov exponents for products of complex Gaussian random matrices
• Products of random matrices and generalised quantum point scatterers
• Lyapunov exponents for the random product of two shears

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