Lyapunov exponents for products of complex Gaussian random matrices

DOI10.1007/S10955-013-0735-7zbMATH Open1272.82020arXiv1206.2001OpenAlexW3103136801MaRDI QIDQ358682FDOQ358682

Peter J. Forrester

Publication date: 9 August 2013

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Abstract: The exact value of the Lyapunov exponents for the random matrix product $P_N=A_N{A}_{N-1}\mathrm{...}{A}_1$ with each $A_i=Sigm{a}^{1/2}{G}_i^{mc}$, where $Sigma$ is a fixed $dimesd$ positive definite matrix and $G_i^{mc}$ a $dimesd$ complex Gaussian matrix with entries standard complex normals, are calculated. Also obtained is an exact expression for the sum of the Lyapunov exponents in both the complex and real cases, and the Lyapunov exponents for diffusing complex matrices.

Full work available at URL: https://arxiv.org/abs/1206.2001

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• scientific article; zbMATH DE number 3936077

zbMATH Keywords

Lyapunov exponentsrandom matrix productsWishart matrices

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44)

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Cited In (30)

• Comment on: ``Sum of squares of uniform random variables by I. Weissman
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• The product of \(m\) real \(N \times N\) Ginibre matrices: real eigenvalues in the critical regime \(m = O(N)\)
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• CLT with explicit variance for products of random singular matrices related to Hill’s equation
• Spectral statistics for the difference of two Wishart matrices
• Time-inhomogeneous random Markov chains
• Lyapunov exponent and variance in the CLT for products of random matrices related to random Fibonacci sequences
• Relating the Bures measure to the Cauchy two-matrix model
• Gaussian fluctuations for products of random matrices
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• Products of independent elliptic random matrices
• Gaussian fluctuations for linear eigenvalue statistics of products of independent iid random matrices
• Products of many large random matrices and gradients in deep neural networks
• Lyapunov exponents for products of matrices and multifractal analysis. II: General 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
• Non-asymptotic results for singular values of Gaussian matrix products
• On the largest Lyapunov exponent for products of Gaussian matrices
• Lyapunov exponents for products of rectangular real, complex and quaternionic Ginibre matrices
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• Hole probabilities and overcrowding estimates for products of complex Gaussian matrices
• Phase transitions for infinite products of large non-Hermitian random matrices
• Outliers in the spectrum for products of independent random matrices
• On the cycle expansion for the Lyapunov exponent of a product of random matrices
• The distribution of Lyapunov exponents: Exact results for random matrices
• Lyapunov exponents for the random product of two shears
• Lyapunov exponents for some isotropic random matrix ensembles

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