Stability in distribution of randomly perturbed quadratic maps as Markov processes

DOI10.1214/105051604000000918MaRDI QIDQ1769412zbMATH OpenOpenAlexFDO

Authors Rabi Bhattacharya, Mukul Majumdar

Publication date 21 March 2005

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0503540, https://projecteuclid.org/euclid.aoap/1099674078

zbMATH Keywords

invariant probabilityMarkov processquadratic maps

Mathematics Subject Classification ID

Generation, random and stochastic difference and differential equations (37H10) Central limit and other weak theorems (60F05) Discrete-time Markov processes on general state spaces (60J05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Abstract: Iteration of randomly chosen quadratic maps defines a Markov process: X_{n+1}=epsilon_{n+1}X_n(1-X_n), where epsilon_n are i.i.d. with values in the parameter space [0,4] of quadratic maps F_{ heta}(x)= heta x(1-x). Its study is of significance as an important Markov model, with applications to problems of optimization under uncertainty arising in economics. In this article a broad criterion is established for positive Harris recurrence of X_n.

Review text

Stability in distribution means the convergence in distribution of \(\frac 1n \sum_{m=0}^{n-1}p^{(m)}(x,dy)\) to the same limit \(\pi(dy)\) for every initial state \(x\in S\), with \(p^{(n)}\) denoting the \(n\)-step transition probability of a Markov process \((X_n,n\geq 1)\) with the state space \(S=(0,1)\). Then \(\pi\) is the unique invariant probability of this Markov process. Randomly perturbed dynamical systems of random compositions of the form \(X_n=F_{\varepsilon_{n}}F_{\varepsilon_{n-1}}\cdots F_{\varepsilon_{1}} X_0\) are considered, where \(\varepsilon_n\), \(n\geq 1\), is an i.i.d. sequence with values in the parameter space \([0,4]\) of the quadratic map \(F_{\theta}=\theta x(1-x)\), and \(X_0\) is independent of \((\varepsilon_n, n\geq 1)\). This model may be applied to problems of optimization under uncertainty arising in economics. For related papers see: \textit{V. Anantharam} and \textit{T. Konstantopoulos} [Stochastic Processes Appl. 68, 181--194 (1997; Zbl 0911.60076); Correction ibid. 80, 271--278 (1999; Zbl 0962.60086)]; \textit{K. B. Athreya} and \textit{J. J. Dai} [Ann. Probab. 30, 437--442 (2002; Zbl 1013.60054)] and \textit{K. Mitra} [Econ. Theory 11, 457--464 (1998; Zbl 0899.90032)].

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Cited in

(10)

• The quasi-stationary distribution for small random perturbations of certain one-dimensional maps
• Random iterates of monotone maps
• Limit theorems for monotone Markov processes
• Stability of Julia sets for a quadratic random dynamical system
• Persistence for stochastic difference equations: a mini-review
• On the stability in the quadratic mean of stochastic dynamical systems
• Asymptotics of the spectral function of an odd-order ordinary differential operator in the general case
• Pathwise properties of random quadratic mapping
• Multiplicative stochastic perturbations of one-dimensional maps
• Stability of equilibria of randomly perturbed maps

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