Lyapunov exponents for products of complex Gaussian random matrices

DOI10.1007/S10955-013-0735-7MaRDI QIDQ358682zbMATH OpenOpenAlexFDO

Authors Peter J. Forrester

Publication date 9 August 2013

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

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

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)

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.

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