Discrete stochastic semigroups and associated difference equations with random coefficients

Publication date 13 March 2002

Published in Theory of Stochastic Processes (Search for Journal in Brave)

Bernoulli scheme linear difference equation Lyapunov exponent random matrix

Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Random operators and equations (aspects of stochastic analysis) (60H25)

Review text

Let \(\{X_n\), \(n\geq 1\}\) be a sequence of \(2\times 2\) random matrices with terms from the field of complex numbers \(\mathbb C\) and let \(Y_n=X_nX_{n-1}\cdots X_2X_1\), \(n\geq 1,\) be a sequence of products provided the factors are independent and have the Bernoulli distribution: for every \(n>1\) we have \(P\{X_n=A\}=p\), \(P\{X_n=B\}=q\), \(p+q=l\), \(0<p<1,\) \(A\) and \(B\) are elements of the space \(L(\mathbb C^2)\). The asymptotic behavior of the sequence \(Y_n\) is characterized by the Lyapunov exponent NEWLINE\[NEWLINE\kappa=\lim_{n\to\infty}n^{-1}\ln\|Y_n\|= \lim_{n\to\infty}n^{-1}{\mathbf E}\ln\|Y_n\|\pmod P,NEWLINE\]NEWLINE where \(\|\cdot\|\) is an arbitrary norm in \(L(\mathbb C^2)\). The author shows that investigation of the asymptotic behavior of \(Y_n\) may be reduced to investigation of the asymptotic behavior of solutions of the corresponding difference equations with random coefficients.

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