Summary
We prove the Central Limit Theorem for products of i.i.d. random matrices. The main aim is to find the dimension of the corresponding Gaussian law. It turns out that ifG is the Zariski closure of a group generated by the support of the distribution of our matrices, and ifG is semi-simple, then the dimension of the Gaussian law is equal to the dimension of the diagonal part of Cartan decomposition ofG.
In this article we present a detailed exposition of results announced in [GGu]. For reasons explained in the introduction, this part is devoted to the case ofSL(m, ℝ) group. The general semi-simple Lie group will be considered in the second part of the work.
The central limit theorem for products of independent random matrices is our main topic, and the results obtained complete to a large extent the general picture of the subject.
The proofs rely on methods from two theories. One is the theory of asymptotic behaviour of products of random matrices itself. As usual, the existence of distinct Lyapunov exponents is the most important fact here. The other is the theory of algebraic groups. We want to point out that algebraic language and methods play a very important role in this paper.
In fact, this mixture of methods has already been used for the study of Lyapunov exponents in [GM1, GM2, GR3]. We believe that it is impossible to avoid the algebraic approach if one aims to obtain complete and effective answers to natural problems arising in the theory of products of random matrices.
In order also to present the general picture of the subject we describe several results which are well known. Some of these can be proven for stationary sequences of matrices, others are true also for infinite dimensional operators (see e.g. [BL, O, GM2, L, R]). But our main concern is with independent matrices, in which case very precise and constructive statements can be obtained.
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Goldsheid, I.Y., Guivarc'h, Y. Zariski closure and the dimension of the Gaussian low of the product of random matrices. I. Probab. Th. Rel. Fields 105, 109–142 (1996). https://doi.org/10.1007/BF01192073
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DOI: https://doi.org/10.1007/BF01192073
Mathematics Subject Classification (1991)
- 60B15
- 60F05
- 14L30