Stable laws and spectral gap properties for affine random walks (Q2261602): Difference between revisions

The authors consider a general multidimensional affine recursion with corresponding Markov operator \(P\) and a unique \(P\)-stationary measure. Letting \(V=\mathbb{R}^n\), denote by \(H\) the affine group of \(V\), that is, the set of maps of the form \(hx=gx+b\) (\(b\in V\), \(g\in G\)), \(G=\mathrm{GL}(d,\mathbb{R}^n)\). Consider the recurrence relation \[ X_0^x=x,\;\;\;X_n^xM_nX_{n-1}^x+Q_{n},\;n\geq 1, \] where \((Q_n,M_n)\in H\) are i.i.d.\ random variables with generic copy \((Q,M)\) and law \(\mu\). From the text: ``In this paper we are interested in the limit behavior of the sum \(S_n^x=\sum_{k=0}^n X_k^x\), conveniently normalized. For \(d = 1\) this question is connected with the slow diffusion behavior of a simple random walk on \(Z\) in a random medium.'' The similar problem for a finitely supported random walk on \(Z\) in a random medium is connected to the study of the above recurrence relation. More generally, the above equation is of fundamental interest for the study of generalized autoregressive processes and is a basic model in collective risk theory. ``We show spectral gap properties on Hölder spaces for the corresponding Fourier operators and we deduce convergence to stable laws for the Birkhoff sums along the recursion. The parameters of the stable laws are expressed in terms of basic quantities depending essentially on the matricial multiplicative part of \(P\). Spectral gap properties of \(P\) and homogeneity at infinity of the \(P\)-stationary measure play an important role in the proofs.''