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Computing Lyapunov constants for random recurrences with smooth coefficients. (English) Zbl 0984.65135

Summary: In recent years, there has been much interest in the growth and decay rates (Lyapunov constants) of solutions to random recurrences such as the random Fibonacci sequence \(x_{n+1}=\pm x_n\pm x_{n-1}\). Many of these problems involve nonsmooth dynamics (nondifferentiable invariant measures), making computations hard. Here, however, we consider recurrences with smooth random coefficients and smooth invariant measures. By computing discretized invariant measures and applying Richardson extrapolation, we can compute Lyapunov constants to 10 digits of accuracy. In particular, solutions to the recurrence \(x_{n+1}= x_n+ c_{n+1} x_{n-1}\), where the \(\{c_n\}\) are independent standard normal variables, increase exponentially (almost surely) at the asymptotic rate \((1.0574735537\dots)^n\). Solutions to the related recurrences \(x_{n+1}= c_{n+1} x_n+ x_{n-1}\) and \(x_{n+1}= c_{n+1} x_n+ d_{n+1} x_{n-1}\) (where the \(\{d_n\}\) are also independent standard normal variables) increase (decrease) at the rates \((1.1149200917\dots)^n\) and \((0.9949018837\dots)^n\), respectively.

MSC:

65P40 Numerical nonlinear stabilities in dynamical systems
65C40 Numerical analysis or methods applied to Markov chains
37D25 Nonuniformly hyperbolic systems (Lyapunov exponents, Pesin theory, etc.)
37M25 Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.)
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References:

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