A mixed random walk on nonnegative matrices: A law of large numbers

DOI10.1007/BF02410120MaRDI QIDQ1900335zbMATH OpenOpenAlexFDO

Publication date 24 February 1997

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02410120

Bernoulli random variables condition of tightness mixed random walks strong law of large numbers

Convergence of probability measures (60B10) Strong limit theorems (60F15) Sums of independent random variables; random walks (60G50)

Review text

Let \(Y_n\) be a sequence of i.i.d. Bernoulli random variables, and \((X_n)\) a sequence of i.i.d. nonnegative matrices. The so-called mixed random walks \((S_n)\) on the semigroup of nonnegative matrices is obtained by multiplying the \(X_n\) left or right according to \(Y_n\), i.e., \(S_n=S_{n-1} X_n\) if \(Y_n=0\) and \(S_n=X_nS_{n-1}\) if \(Y_n=1\). Let \(\mu\) be the distribution of \(X_1\) with support \(S\). The point of the paper is that \(S\) is not required to be compact. Under the condition of tightness of \((\mu^n)\) it is shown that a unique invariant probability measure for \((S_n)\) exists and a strong law of large numbers is proved.

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