Friday, June 28, 2013

1306.6576 (Vladislav Kargin)

On the largest Lyapunov exponent for products of Gaussian matrices    [PDF]

Vladislav Kargin
The paper provides a new 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. In addition, the paper gives new exact formulas for the largest Lyapunov exponents of 3-by-3 real and d-by-d quaternion Gaussian matrices.
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