Let
be a square matrix with non-negative entries, such that the entries of
are positive.
A nice example to start with is
![]()
Given
, consider a random matrix product
![]()
where the
are independent, and
for each
,
![]()
Fix a
submultiplicative norm
on
matrices, e.g. the operator norm
![]()
where the supremum is over vectors
in the unit sphere of
. The sequence
is submultiplicative, i.e.
![]()
so by Fekete’s lemma, the limit
![]()
exists; it is called the top Lyapunov exponent for this matrix product, and was
first studied in [1]. In [2], it was shown that
is a real analytic function of
.
-
(a) Does
attain its maximum at
? -
(b) Is
nondecreasing in
?
[1] Furstenberg, Harry, and Harry Kesten. "Products of random
matrices." The Annals of Mathematical Statistics 31, no. 2 (1960):
457-469.
[2] Peres, Yuval Analytic dependence of Lyapunov exponents on
transition probabilities. Lyapunov exponents (Oberwolfach, 1990), 64–80,
Lecture Notes in Math., 1486, Springer, Berlin, 1991.