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Central limit theorem for products of random matrices


Author: Marc A. Berger
Journal: Trans. Amer. Math. Soc. 285 (1984), 777-803
MSC: Primary 60F05; Secondary 35R60, 60H10, 60J60
DOI: https://doi.org/10.1090/S0002-9947-1984-0752503-3
MathSciNet review: 752503
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Abstract: Using the semigroup product formula of P. Chernoff, a central limit theorem is derived for products of random matrices. Applications are presented for representations of solutions to linear systems of stochastic differential equations, and to the corresponding partial differential evolution equations. Included is a discussion of stochastic semigroups, and a stochastic version of the Lie-Trotter product formula.


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Additional Information

DOI: https://doi.org/10.1090/S0002-9947-1984-0752503-3
Keywords: Brownian motion, central limit theorem, semigroup, stochastic differential equation, stochastic integral
Article copyright: © Copyright 1984 American Mathematical Society

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