Lyapunov exponents for some isotropic random matrix ensembles

TL;DR

This paper derives explicit formulas for Lyapunov exponents of isotropic random matrix ensembles, including Gaussian, beta type I, and beta type II, with extensions to complex and quaternion cases, advancing understanding of their stability properties.

Contribution

It provides explicit expressions for the Lyapunov spectrum and largest Lyapunov exponent for certain isotropic random matrices, including generalizations to complex and quaternion entries.

Findings

Explicit formulas for Lyapunov spectra of isotropic ensembles.

Closed-form expressions for the largest Lyapunov exponent.

Extensions to complex and quaternion matrix cases.

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.