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Lyapunov Exponents for Some Isotropic Random Matrix Ensembles

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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 \(I_N + {1 \over c} X\) 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.

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Acknowledgements

This research project is part of the program of study supported by the ARC Centre of Excellence for Mathematical & Statistical Frontiers (ACEMS), and the Australian Research Council Discovery Project Grant DP170102028. The work of JZ was supported by a University of Melbourne Research Scholarship, and an ACEMS top-up scholarship.

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Authors and Affiliations

  1. ARC Centre of Excellence for Mathematical and Statistical Frontiers, School of Mathematics and Statistics, The University of Melbourne, Melbourne, VIC, 3010, Australia

    P. J. Forrester & Jiyuan Zhang

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  1. P. J. Forrester
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  2. Jiyuan Zhang
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Correspondence to P. J. Forrester.

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Communicated by Ivan Corwin.

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Forrester, P.J., Zhang, J. Lyapunov Exponents for Some Isotropic Random Matrix Ensembles. J Stat Phys 180, 558–575 (2020). https://doi.org/10.1007/s10955-019-02474-2

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