Heavy tail phenomenon and convergence to stable laws for iterated Lipschitz maps (Q662826): Difference between revisions

The paper considers the Markov chain \(X_n^x\) in \({\mathbb R^d}\) defined by the stochastic recursion \(X_n^x = {\psi _{{\theta _n}}}(X_{n - 1}^x)\), starting at \(x \in {\mathbb R^d}\), where \({\theta _1},{\theta _2},\dots\) are i.i.d. random variables taking their values in a metric space, and \({\psi _{{\theta _n}}}:{\mathbb R^d} \to {\mathbb R^d}\) are Lipschitz maps. The Markov chain is assumed to have a unique stationary measure \(\nu \). The paper gives conditions on \({\psi _{{\theta _n}}}\) under which \(\nu \) has a heavy tail with the exponent \(\alpha > 0\). It also establishes convergence in law of appropriately normalized sums \(S_n^x = \sum_{k = 1}^\infty {X_n^k} \) to an \(\alpha \)-stable distribution.