Lyapunov Exponents of Random Matrix Products
Date
2023-03-17
Authors
Bednarski, Sam
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Abstract
We find the Lyapunov exponents for some sequences of independent, identically distributed (i.i.d.) matrix-valued random variables. That is, given such a sequence, we find the asymptomatic behaviour of the sequence whose n-th term is the singular values of the product of the first n matrices. We find an explicit expression for the Lyapunov exponent when each matrix is an orthogonal matrix with each entry perturbed by an i.i.d. normal random variable with mean 0. Finally, in the above case we find the size of the Lyapunov exponents in terms of the variance of our normal perturbation and the dimension of the matrices.
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Keywords
random matrix, ergodic theory, singular value, Lyapunov exponent