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arXiv · 1501.05702

Asymptotics of finite system Lyapunov exponents for some random matrix ensembles

Peter J. Forrester
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Abstract

For products $P_N$ of $N$ random matrices of size $d \times d$, there is a natural notion of finite $N$ Lyapunov exponents $\{μ_i\}_{i=1}^d$. In the case of standard Gaussian random matrices with real, complex or real quaternion elements, and extended to the general variance case for $μ_1$, methods known for the computation of $\lim_{N \to \infty} \langle μ_i \rangle$ are used to compute the large $N$ form of the variances of the exponents. Analogous calculations are performed in the case that the matrices making up $P_N$ are products of sub-blocks of random unitary matrices with Haar measure. Furthermore, we make some remarks relating to the coincidence of the Lyapunov exponents and the stability exponents relating to the eigenvalues of $P_N$.

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Peter J. Forrester. 2015-01-23. Asymptotics of finite system Lyapunov exponents for some random matrix ensembles. https://doi.org/10.1088/1751-8113%2F48%2F21%2F215205

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