14:00-14:45 - Chun Lam, Oxford,
14:45-15:30 – Christopher Chalhoub, Imperial, “On the Expected Number of Escapes for Products of Random Matrices”
Abstract:
We consider a sequence of i.i.d. random matrices sampled from a compact subset of the general linear group over the reals. Their product represents an iteration of linear maps on R^d. The asymptotic exponential growth rate of the norm of the product is given by the Lyapunov exponent. We show that the expected number of escapes from a ball around the origin grows like the inverse of the Lyapunov exponent as the system approaches a phase transition. This talk is based on joint work with Vincent Goverse, Martin Rasmussen and Jeroen Lamb.
15:30 – 16:00 – coffee break in the MI Common Room
16:00 – 17:00 – Dr Nazem Khan, Mathematical and Computational Finance Group, Oxford.
