A central limit theorem for stochastic recursive sequences of topical operators

DOI10.1214/105051607000000168MaRDI QIDQ2467606zbMATH OpenOpenAlexFDO

Authors Glenn Merlet

Publication date 28 January 2008

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

Full work available at URL https://arxiv.org/abs/math/0606668

zbMATH Keywords

central limit theoremmixingproducts of random matricesstochastic recursive sequencesmax-plustopical functions

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

Abstract: Let $(A_n{)}_{ninmathbbN}$ be a stationary sequence of topical (i.e., isotone and additively homogeneous) operators. Let $x(n,x_0)$ be defined by $x(0,x_0)=x_0$ and $x(n+1,x_0)=A_{n}x(n,x_0)$. It can model a wide range of systems including train or queuing networks, job-shop, timed digital circuits or parallel processing systems. When $(A_n{)}_{ninmathbbN}$ has the memory loss property, $(x(n,x_0){)}_{ninmathbbN}$ satisfies a strong law of large numbers. We show that it also satisfies the CLT if $(A_n{)}_{ninmathbbN}$ fulfills the same mixing and integrability assumptions that ensure the CLT for a sum of real variables in the results by P. Billingsley and I. Ibragimov.

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Cited in

(2)

• Semigroup of matrices acting on the max-plus projective space
• Stochastic stability in Max-Product and Max-Plus systems with Markovian jumps

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