Lyapunov exponents for some isotropic random matrix ensembles

Abstract

A random matrix with rows distributed as a function of their length is said to be isotropic. When these distributions are Gaussian, beta type I, or beta type II, previous work has, from the viewpoint of integral geometry, obtained the explicit form of the distribution of the determinant. We use these result to evaluate the sum of the Lyapunov spectrum of the corresponding random matrix product, and we further give explicit expressions for the largest Lyapunov exponent. Generalisations to the case of complex or quaternion entries are also given. For standard Gaussian matrices $X$, the full Lyapunov spectrum for products of random matrices $I_N+\frac{1}{c}X$ is computed in terms of a generalised hypergeometric function in general, and in terms of a single single integral involving a modified Bessel function for the largest Lyapunov exponent.

arXiv comment23 pages

References in corpus (9)

• Universal distribution of Lyapunov exponents for products of Ginibre matrices
• On the Efficient Calculation of a Linear Combination of Chi-Square Random Variables with an Application in Counting String Vacua
• Asymptotic behavior of random determinants in the Laguerre, Gram and Jacobi ensembles
• Lyapunov exponents for products of complex Gaussian random matrices
• On the largest Lyapunov exponent for products of Gaussian matrices
• Asymptotics of finite system Lyapunov exponents for some random matrix ensembles
• Lyapunov exponents for products of rectangular real, complex and quaternionic Ginibre matrices
• Random matrix theory and multivariate statistics
• Volumes and distributions for random unimodular complex and quaternion lattices