Skip to main content
formatting
Source Link
YCor
  • 63.9k
  • 5
  • 187
  • 285

Random Walkswalks and Lyapunov exponents

Given a sequence $Y_1, Y_2, \dots$ of i.i.d. matrices in $GL_n(\mathbb R)$$\mathrm{GL}_n(\mathbb R)$, there is a theorem of Furstenberg and Kesten which says that if $\mathbb E(\log||Y_1||)$$\mathbb E(\log\|Y_1\|)$ is finite, there exists a constant $\gamma$ (the Lyapunov exponent) such that $$\lim_{n\rightarrow\infty}\frac{1}{n}\log||Y_n\dots Y_1|| = \gamma$$$$\lim_{n\rightarrow\infty}\frac{1}{n}\log\|Y_n\dots Y_1\| = \gamma$$ There are also versions of central limit theorems for this scenario. I'm pretty sure this is also known in a more general case (e.g. suppose we have a sequence of matrices $Y_i$ of order 2, and I don't want to consider sequences of length $n$ in which $\dots Y_i Y_i\dots$ appears). I am wondering if anyone knows a good reference for theorems regarding Lyapunov exponents and central theorems in this case.

Random Walks and Lyapunov exponents

Given a sequence $Y_1, Y_2, \dots$ of i.i.d. matrices in $GL_n(\mathbb R)$, there is a theorem of Furstenberg and Kesten which says that if $\mathbb E(\log||Y_1||)$ is finite, there exists a constant $\gamma$ (the Lyapunov exponent) such that $$\lim_{n\rightarrow\infty}\frac{1}{n}\log||Y_n\dots Y_1|| = \gamma$$ There are also versions of central limit theorems for this scenario. I'm pretty sure this is also known in a more general case (e.g. suppose we have a sequence of matrices $Y_i$ of order 2, and I don't want to consider sequences of length $n$ in which $\dots Y_i Y_i\dots$ appears). I am wondering if anyone knows a good reference for theorems regarding Lyapunov exponents and central theorems in this case.

Random walks and Lyapunov exponents

Given a sequence $Y_1, Y_2, \dots$ of i.i.d. matrices in $\mathrm{GL}_n(\mathbb R)$, there is a theorem of Furstenberg and Kesten which says that if $\mathbb E(\log\|Y_1\|)$ is finite, there exists a constant $\gamma$ (the Lyapunov exponent) such that $$\lim_{n\rightarrow\infty}\frac{1}{n}\log\|Y_n\dots Y_1\| = \gamma$$ There are also versions of central limit theorems for this scenario. I'm pretty sure this is also known in a more general case (e.g. suppose we have a sequence of matrices $Y_i$ of order 2, and I don't want to consider sequences of length $n$ in which $\dots Y_i Y_i\dots$ appears). I am wondering if anyone knows a good reference for theorems regarding Lyapunov exponents and central theorems in this case.

edited tags
Link
Gjergji Zaimi
  • 85.5k
  • 4
  • 236
  • 401
Source Link
Elena
  • 315
  • 1
  • 8

Random Walks and Lyapunov exponents

Given a sequence $Y_1, Y_2, \dots$ of i.i.d. matrices in $GL_n(\mathbb R)$, there is a theorem of Furstenberg and Kesten which says that if $\mathbb E(\log||Y_1||)$ is finite, there exists a constant $\gamma$ (the Lyapunov exponent) such that $$\lim_{n\rightarrow\infty}\frac{1}{n}\log||Y_n\dots Y_1|| = \gamma$$ There are also versions of central limit theorems for this scenario. I'm pretty sure this is also known in a more general case (e.g. suppose we have a sequence of matrices $Y_i$ of order 2, and I don't want to consider sequences of length $n$ in which $\dots Y_i Y_i\dots$ appears). I am wondering if anyone knows a good reference for theorems regarding Lyapunov exponents and central theorems in this case.