Convergence in total variation of an affine random recursion in [0, p)^k to a uniform random vector
The author studies the rate of convergence of the \(k\)-dimensional Markov chain NEWLINE\[NEWLINE\mathbf{X}_{n+1}=A\mathbf{X}{}_{n}{}_+\mathbf{B}{}_{n}\mod p,NEWLINE\]NEWLINE where \(A\) is an integer matrix, \((\mathbf{B}_{n})\) is a sequence of i.i.d.\ real random vectors, and \(p>0\). The variation distance of two probability measures \(\varphi\) and \(\psi\) on the measurable space \((E,\mathcal{E})\) is defined by NEWLINE\[NEWLINE\|\varphi-\psi\|:=\sup_{A\in\mathcal{E}}|\varphi(A)-\psi(A)|.NEWLINE\]NEWLINE Put NEWLINE\[NEWLINE\operatorname{P}_{x_0}^{n}(A)=\operatorname{P}(X_n\in A\mid X_0=x_0);NEWLINE\]NEWLINE then \((X_n)\) is {\parindent=6mm \begin{itemize}\item[(a)] \(\varphi\)-irreducible if there exists a measure \(\varphi\) on \((E,\mathcal{E})\) such that, for all \(A\in\mathcal{E}\) with \(\varphi(A)>0\) and \(x_0\in E\), there exists \(n=n(x_0,A)\) such that \(\operatorname{P}_{x_0}^{n}(A)>0\), \item[(b)] uniformly ergodic if \(\lim_{n\to+\infty} \sup_{x_0\in E} \|\operatorname{P}_{x_0}^{n}-\pi\|=0\), where \(\pi\) is a probability measure on \((E,\mathcal{E})\).NEWLINENEWLINE\end{itemize}}NEWLINENEWLINEThe author proves that \((X_n)\) is uniformly ergodic for \(\pi=\mathcal{L}_{\mathbf{U}}\), the uniform distribution on \([0,p)^k\).
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- Random walks on rings and modules
- Infinite-dimensional Gaussian change of variables' formula
- Differentiation theory over infinite-dimensional Banach spaces
- Generating uniform random vectors in \(\mathbb Z^k_p\): the general case
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