Limiting behavior of the norm of products of random matrices and two problems of Geman-Hwang (Q1071372): Difference between revisions

Let \(\{w_{ij}\}_{\ell}\), \(1\leq i,j<\infty\) be i.i.d. r.v's with mean zero, E \(w^ 2_{11}=\sigma^ 2\) and E \(w^ 4_{11}<\infty\), and let \(W_ n=\{w_{ij}\}\) \(1\leq i,j\leq n\). In this paper, it is proved that \[ \varlimsup_{n\to\infty} \| (W_ n/\sqrt{n})^ k\| \leq (1+k)\sigma^ k\quad \text{a.s.} \] for any positive integer \(k\). Using this result, the authors prove a conjecture, suggested by \textit{S. Geman} and \textit{C.-R. Hwang} [Z. Wahrscheinlichkeitstheor. Verw. Geb. 60, 291-314 (1982; Zbl 0468.60061)], conceiving with the solution of the linear equations \(X_ n=1_ n+n^{-1/2}W_ nX_ n\) and establish a limiting result about the solution to the linear differential equations \[ \dot X_ n(t) = \alpha X_ n(t) + n^{-1/2}W_ n X_ n(t) + \beta 1_ n,\quad X_ n(0) = 1_ n. \] As a special case where \(\beta=1\), it reduces to a conjecture suggested by Geman and Hwang.