On the Largest Lyapunov Exponent for Products of Gaussian Matrices

被引：0
|
作者：
Vladislav Kargin
机构：
[1] University of Cambridge,
来源：
Journal of Statistical Physics | 2014年 / 157卷
关键词：
Lyapunov exponent; Random matrix; Random matrix products; Spiked models; Universality;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The paper provides a new integral formula for the largest Lyapunov exponent of Gaussian matrices, which is valid in the real, complex and quaternion-valued cases. This formula is applied to derive asymptotic expressions for the largest Lyapunov exponent when the size of the matrix is large and compare the Lyapunov exponents in models with a spike and no spikes.
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页码：70 / 83
页数：13
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