How do random Fibonacci sequences grow?

Abstract: We study two kinds of random Fibonacci sequences defined by

F_{1} = F_{2} = 1

and for

n g e 1

,

F_{n + 2} = F_{n + 1} p m F_{n}

(linear case) or

F_{n + 2} = | F_{n + 1} p m F_{n} |

(non-linear case), where each sign is independent and either + with probability

p

or - with probability

1 - p

(

0 < p l e 1

). Our main result is that the exponential growth of

F_{n}

for

0 < p l e 1

(linear case) or for

1 / 3 l e p l e 1

(non-linear case) is almost surely given by

int_0^infty log x d u_alpha (x),

where

a l p h a

is an explicit function of

p

depending on the case we consider, and

u_{a} l p h a

is an explicit probability distribution on

R R_{+}

defined inductively on Stern-Brocot intervals. In the non-linear case, the largest Lyapunov exponent is not an analytic function of

p

, since we prove that it is equal to zero for

0 < p l e 1 / 3

. We also give some results about the variations of the largest Lyapunov exponent, and provide a formula for its derivative.

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