On fixed points of a generalized multidimensional affine recursion

DOI10.1007/S00440-012-0439-YMaRDI QIDQ365719zbMATH OpenOpenAlexFDO

Authors Mariusz Mirek

Publication date 9 September 2013

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Copyright license Creative Commons Attribution 2.0 Generic

Full work available at URL https://arxiv.org/abs/1111.1756

zbMATH Keywords

renewal theoryMarkov chainsspectral theoryheavy tailed random variablesstationary measures

Mathematics Subject Classification ID

Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Random operators and equations (aspects of stochastic analysis) (60H25) Renewal theory (60K05)

Abstract: Let $G$ be a multiplicative subsemigroup of the general linear group $Gl(mathbb{R}^d)$ which consists of matrices with positive entries such that every column and every row contains a strictly positive element. Given a $G$--valued random matrix $A$, we consider the following generalized multidimensional affine equation Rstackrel{mathcal{D}}{=}sum_{i=1}^N A_iR_i+B, where $Nge2$ is a fixed natural number, $A_1,\mathrm{...},A_N$ are independent copies of $A$, $Binmathbb{R}^d$ is a random vector with positive entries, and $R_1,\mathrm{...},R_N$ are independent copies of $Rinmathbb{R}^d$, which have also positive entries. Moreover, all of them are mutually independent and $stackrelmathcalD=$ stands for the equality in distribution. We will show with the aid of spectral theory developed by Guivarc'h and Le Page and Kesten's renewal theorem, that under appropriate conditions, there exists $chi>0$ such that $P(<R,u>>t)asymp{t}^{-chi},$ as $to8$, for every unit vector $uinmathbb{S}^{d-1}$ with positive entries.

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Cited in

(9)

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• Convergence to stable laws for multidimensional stochastic recursions: the case of regular matrices
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