Fixed points of the multivariate smoothing transform: the critical case

DOI10.1214/EJP.V20-4022MaRDI QIDQ2515919zbMATH OpenOpenAlexFDO

Authors Konrad Kolesko, Sebastian Mentemeier

Publication date 7 August 2015

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

Full work available at URL https://arxiv.org/abs/1409.7220

zbMATH Keywords

branching random walkHarris recurrenceproducts of random matricesMarkov random walkderivative martingalemultivariate smoothing transform

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Martingales with continuous parameter (60G44)

Abstract: Given a sequence $(T_1,T_2,\mathrm{...})$ of random $dimesd$ matrices with nonnegative entries, suppose there is a random vector $X$ with nonnegative entries, such that $su{m}_{ige1}{T}_i{X}_i$ has the same law as $X$, where $(X_1,X_2,\mathrm{...})$ are i.i.d. copies of $X$, independent of $(T_1,T_2,\mathrm{...})$. Then (the law of) $X$ is called a fixed point of the multivariate smoothing transform. Similar to the well-studied one-dimensional case $d=1$, a function $m$ is introduced, such that the existence of $alphain(0,1]$ with $m(alpha)=1$ and $m^{\prime }(alpha)le0$ guarantees the existence of nontrivial fixed points. We prove the uniqueness of fixed points in the critical case $m^{\prime }(alpha)=0$ and describe their tail behavior. This complements recent results for the non-critical multivariate case. Moreover, we introduce the multivariate analogue of the derivative martingale and prove its convergence to a non-trivial limit.

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Cited in

(6)

• Multi-dimensional smoothing transformations: existence, regularity and stability of fixed points
• Elementary fixed points of the BRW smoothing transforms with infinite number of summands
• The fixed points of the multivariate smoothing transform
• On multivariate stochastic fixed point equations. The smoothing transform and random difference equations
• Precise tail asymptotics for attracting fixed points of multivariate smoothing transformations
• Fixed points of multivariate smoothing transforms with scalar weights

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