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A trotter product formula for

random matrices
a
Marc A. Berger
a
Department of Mathematics , The Weizmann Institute of
Science , Rehovot, 76100, Israel
Published online: 04 Apr 2007.

To cite this article: Marc A. Berger (1988) A trotter product formula for random
matrices, Stochastics: formerly Stochastics and Stochastics Reports, 23:2, 79-84, DOI:
10.1080/17442508808833483

To link to this article: http://dx.doi.org/10.1080/17442508808833483

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 Stochasaics, Vol. 23, pp. 79-84
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% 1988 Gordon and Breach, Science Publishers, Inc.
Printed in Great Britain

A Trotter Product Formula for

Random Matrices
MARC A. BERGER
Department of Mathematics, The Weizmann Institute of Science,
Downloaded by [Michigan State University] at 12:15 31 January 2015

Rehovot 76100, Israel

(Received I September 1986; in final form 19 May 1987)

This note contains a generalization of the Trotter product formula to the setting of
multiple linear systems of stochastic differential equations. From the result it follou~s
that the solution of a system in Stratonovich form in a Lie algebra lies in the
corresponding Lie group.
KEY WORDS: Stochastic differential equation, Trotter product formula.
Mathematics subject classification (1980): 60F05, 60H20.

Let a,, . . . , a, be real d x d matrices. Trotter's product formula

asserts that

lim [exp (tlna,) +. . . x exp (t/na,)ln

n-u,
= exp
( x ).
t
l:j
aj
(1)

This well known result extends to semi-groups on a Banach space

with generators aj, (e.g. Pazy [6, Cor. 3.5.5]), and can be thought of
as an "alternating step" method for integrating evolution equations.
Thus one runs the semi-group exp(tu,) for time tln, then the semi-
group exp(ta,) for time tln, etc., cycling around from a, back to a,.
Given a system A =(a,, ay',. . . ,a$)) of p + 1 real d x d matrices, let
@,(s, t) denote the fundamental matrix,
 80 M. A. BERGER

for the Stratonovich linear stochastic system with coefficient matrices

a, and ay', ..., 02). Here ( e l , .. .,8,) is a p-dimensional Brownian
motion. Denote OA(t):=QA(O,t). Observe that @,(R), 3,>0, has the
same distribution as @,,(I), where

If B = (a,, ah1',. . . ,OF)) is another system like A, denote

A + B: = ( a A+ a,, a y )+ abl', . . . , a y ) + OF)).

Downloaded by [Michigan State University] at 12:15 31 January 2015

If Aj, 1 5 j g m , are all systems like A then the analogue to ( 1 ) would

be to run the stochastic semi-groups cDA, over successive time
intervals

i.e. to run the time-ordered product

It is understood that the same Brownian motion (O,, . . . ,9,) is used

for each OAj.This can always be achieved by enlarging p and setting
02:= 0 for some j, k. The following theorem, then, is a generalization
of (1).

where

and [., . ] denotes the Lie commutator, [b,c ] := bc -cb.

 TROTTER PRODUCT FORMULA 81
The convergence "3"in (2) is that of weak convergence of
measures on C([O, 11: GL,). This result is easily understood in terms
of the Campbell-Hausdorff Theorem for Lie algebras. The proof of
this theorem is based on a central limit theorem for random matrices
in GL,.

CLT Let Din, 1S i g n , be a triangular array of square-integrable

d x d matrices which are i.i.d. for each fixed n. Assume that
a, a"', . . . ,dP)
are (non-random) matrices for which

lim n QDin- I ) = a;
n-+
Downloaded by [Michigan State University] at 12:15 31 January 2015

30

P
lim n E((Dinx-x, y))* = ((dk'x, y))', V x , y E Rd. (4)
n+m k= 1

Assume in addition that

limn [ ~ D ~ , - I / ~ = O , QE>O.
n-tcc jDin21(>e

Then

where A =(a, a''), . . . , P ) .

This result follows from Stroock and Varadhan [7, Thm. 2.41. An
early version of it appears in Grenander [5, Thm. 4.4.21. In Berger
[3] it is proved using the semi-group product formula of P. Chernoff
[4]. These latter two references only obtain convergence in distri-
bution in (6) for each fixed t.
An example of a triangular array Din satisfying the above hypo-
theses is

where U , T/',, W,, are random d x d matrices satisfying IEJ uiI2, IE\ 1/;12,
[E/wn('
< cc and
 M. A. BERGER
LEUi = 0, lim n EKn= 0,
n+ m

lim n E ~ W , , / ~ = O .
n+ m

In order for the Din here to be i.i.d. for each fixed n, it suffices that
the triples (U,, 6,T/I/In) be i.i.d, for each fixed n.
Regarding condition (5): it is clear that if

lim n E / D ~ , - I I ~ + ' = O
n'cc
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for some 6 > 0, then (5) follows.

Proof of Theorem First of all (2) is to be recast from Stratonovich

to It8 form. For A =(a,, ay),. . . ,OF))
let YA(s,t) denote the fundamental
matrix
P f
+
f

YAs, t) = 1
k=l s
o$'YA(s,U) dOk(u) +J aAYA(s,u) du,
s

for the It8 system. Using the transformation rule between It8 and
Stratonovich stochastic differential equations (e.g. Arnold [I, Sec.
10.21) one sees that (2) is equivalent to

where

This fits the CLT above with

Note that YAj(s,t) and YAj(s- t, 0) have the same distribution and
 TROTTER PRODUCT FORMULA 83
o) are independent if (s, t ) n(u, o) = 0. Thus it
that YAj(s,t ) and YAk(u,
suffices to establish

1
lim - E[(YAl(t)x .. ' x YArn(t)x-x,
y)I2
t-0 t
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1
lim - E [ ( Y A l ( tx) . . . x YAm(t)x-x,
y ) I 4 =0, V X ,y E Rd
r-0 t

These follow respectively from the identities

x ... x Y ~ , ( ~ ) - I ]
EIYAl(t)
 84 M. A. BERGER

and
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It follows from Berger [2] that

det @,(t) = nrn

j= 1
det @,l(t),

where A , , . . . ,A,, 3 are as in the theorem. Thus if OAj(t)E GLd for all
t , then so does @,(~)EGL,. The same holds immediately for SL,.
More generally, it follows now from the theorem above that if
. . ,@Am are all processes on the same Lie group G c GL,, then
0,lies in this same group.

References
[I] L. Arnold, Stochastic Dijerential Equations: Theory and Applications, Wiley-
Interscience, New York, 1974.
[2] M. A. Berger, A remark on stochastic fundamental matrices, Ann. Prob. 11 (1983),
215-216.
[3] M. A. Berger, Central limit theorem for products of random matrices, Trans.
Amer. Math. Soc. 285 (1984), 777-803.
[4] P. Chernoff, Note on product formulas for operator semi-groups, J. Func. Anal. 2
(1968), 238-242.
[5] U. Grenander, Probabilities on Algebraic Structures, Wiley, Stockholm, 1963.
[6] A. Pazy, Semigroups of Linear Operators and Applications t o Partial Differential
Equations, Springer-Verlag, New York, 1983.
[7] D. W. Stroock and S. R. S. Varadhan, Limit theorems for random walks on Lie
groups, Sankya Ser. A (3) 35 (1973), 277-294.