The distribution of Lyapunov exponents: Exact results for random matrices |
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Authors: | Charles M Newman |
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Institution: | (1) Department of Mathematics, University of Arizona, 85721 Tucson, AZ, USA |
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Abstract: | Simple exact expressions are derived for all the Lyapunov exponents of certainN-dimensional stochastic linear dynamical systems. In the case of the product of independent random matrices, each of which has independent Gaussian entries with mean zero and variance 1/N, the exponents have an exponential distribution asN. In the case of the time-ordered product integral of expN
–1/2
dW], where the entries of theN×N matrixW(t) are independent standard Wiener processes, the exponents are equally spaced for fixedN and thus have a uniform distribution as N.John S. Guggenheim Memorial Fellow. Research supported in part by NSF Grant MCS 80-19384 |
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