Pollicott's Algorithm for Markovian Products of Positive Matrices

11 Apr 2019  ·  Fan Wang, David Steinsaltz ·

In a recent paper by M. Pollicott, an efficient algorithm was proposed, applying Ruelle's theory of transfer operators and Grothendieck's classical work on nuclear operators, to compute the Lyapunov exponent associated with the i.i.d. products of positive matrices... In this article, we generalise the result to Markovian products and correct some minor mistakes in Pollicott's original paper. read more

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Probability