Vladislav Kargin
Published 2013-06-27, updated 2014-07-16Version 2
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.
Comments: 15 pages, 4 figures, accepted to the Journal of Statistical Physics
Singular values of Gaussian matrices and permanent estimators
Lyapunov exponents for products of truncated orthogonal matrices
The spectral norm of Gaussian matrices with correlated entries
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