Spectral gap properties for linear random walks and Pareto's asymptotics for affine stochastic recursions

DOI10.1214/15-AIHP668MaRDI QIDQ297434zbMATH OpenFDO

Authors Yves Guivarc'h, Émile Le Page

Publication date 27 June 2016

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1204.6004, https://projecteuclid.org/euclid.aihp/1462367884

zbMATH Keywords

random matricesspectral gaprenewal theoremaffine stochastic recursionPareto asymptotics

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Sums of independent random variables; random walks (60G50) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Boundary theory for Markov processes (60J50)

Abstract: Let $V=mathbb{R}^d$ be the Euclidean $d$-dimensional space, $mu$ (resp $lambda$) a probability measure on the linear (resp affine) group $G=GL(V)$ (resp $H=Aff(V))$ and assume that $mu$ is the projection of $lambda$ on $G$. We study asymptotic properties of the iterated convolutions $m{u}^n\ast delt{a}_v$ (resp $lambd{a}^n\ast delt{a}_v)$ if $vinV$, i.e asymptotics of the random walk on $V$ defined by $mu$ (resp $lambda$), if the subsemigroup $TsubsetG$ (resp. $SigmasubsetH$) generated by the support of $mu$ (resp $lambda$) is "large". We show spectral gap properties for the convolution operator defined by $mu$ on spaces of homogeneous functions of degree $sgeq0$ on $V$, which satisfy H{"o}lder type conditions. As a consequence of our analysis we get precise asymptotics for the potential kernel $Sigm{a}_0^{infty}m{u}^k\ast delt{a}_v$, which imply its asymptotic homogeneity. Under natural conditions the $H$-space $V$ is a $lambda$-boundary; then we use the above results and radial Fourier Analysis on $Vsetminus0$ to show that the unique $lambda$-stationary measure $ho$ on $V$ is "homogeneous at infinity" with respect to dilations $vightarrowtv$ (for $textgreater0$), with a tail measure depending essentially of $mu$ and $Sigma$. Our proofs are based on the simplicity of the dominant Lyapunov exponent for certain products of Markov-dependent random matrices, on the use of renewal theorems for "tame" Markov walks, and on the dynamical properties of a conditional $lambda$-boundary dual to $V$.

Recommendations

• Stable laws and spectral gap properties for affine random walks
• Homogeneity at infinity of stationary solutions of multivariate affine stochastic recursions
• On spectral properties of a family of transfer operators and convergence to stable laws for affine random walks
• Extreme-value asymptotics for affine random walks
• On fixed points of a generalized multidimensional affine recursion

Cites work

• scientific article; zbMATH DE number 3913325 (Why is no real title available?)
• scientific article; zbMATH DE number 2079140 (Why is no real title available?)
• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• A generalization of the Riesz-Schauder theory
• A probabilistic representation of constants in Kesten's renewal theorem
• A proof of Oseledec's multiplicative ergodic theorem
• Asymptotic laws for geodesic homology on hyperbolic manifolds with cusps
• Asymptotic properties of linear groups
• Disjoint spheres, approximation by imaginary quadratic numbers, and the logarithm law for geodesics
• Extremal behaviour of models with multivariate random recurrence representation
• Extreme-value asymptotics for affine random walks
• Fixed points of the smoothing transformation
• Harmonic analysis.
• Heavy-Tail Phenomena
• Implicit renewal theory and tails of solutions of random equations
• Limiting distributions for geodesics excursions on the modular surface
• Lyapunov indices of a product of random matrices
• Measures that Vanish on Half Spaces
• On generalized multiplicative cascades
• On multidimensional Mandelbrot cascades
• Orbits of linear group actions, random walks on homogeneous spaces and toral automorphisms
• Point process and partial sum convergence for weakly dependent random variables with infinite variance
• Quenched limit theorems for nearest neighbour random walks in 1D random environment
• R-REGULAR ELEMENTS IN ZARISKIDENSE SUBGROUPS
• Random difference equations and renewal theory for products of random matrices
• Random walks on reductive groups
• Remarks on the notion of recurrence
• Renewal theory for functionals of a Markov chain with general state space
• Stable laws and spectral gap properties for affine random walks
• Stationary measures and closed invariants on homogeneous spaces
• Strict stationarity of generalized autoregressive processes
• Sums of Stationary Sequences Cannot Grow Slower Than Linearly
• Support theorems for the Radon transform and Cramér-Wold theorems
• Sur la distribution limite du terme maximum d'une série aléatoire
• The Strong Law of Large Numbers for a Class of Markov Chains
• Théorie ergodique pour des classes d'opérations non completement continues
• What is the Laplace Transform?
• Zariski closure and the dimension of the Gaussian law of the product of random matrices. I

Cited in

(37)

• Large deviation principle for random matrix products
• On the Kesten-Goldie constant
• Spectral gap in the group of affine transformations over prime fields
• Fourier transform of self-affine measures
• Fourier decay, renewal theorem and spectral gaps for random walks on split semisimple Lie groups
• Asymptotic behaviour under iterated random linear transformations
• The tail process revisited
• Precise large deviation asymptotics for products of random matrices
• Affine stochastic equation with triangular matrices
• Decrease of Fourier coefficients of stationary measures
• Some asymptotic properties of random walks on homogeneous spaces
• Decay of Fourier coefficients for Furstenberg measures
• Extreme-value asymptotics for affine random walks
• Importance sampling for maxima on trees
• A simple proof of heavy tail estimates for affine type Lipschitz recursions
• Componentwise different tail solutions for bivariate stochastic recurrence equations with application to \(\text{GARCH}(1,1)\) processes
• Large deviation expansions for the coefficients of random walks on the general linear group
• Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach
• Berry-Esseen bounds and moderate deviations for random walks on \(\mathrm{GL}_d(\mathbb{R})\)
• Tails of bivariate stochastic recurrence equation with triangular matrices
• Discrepancy skew products and affine random walks
• Winding of geodesic rays chosen by a harmonic measure
• Large excursions and conditioned laws for recursive sequences generated by random matrices
• Random matrix products when the top Lyapunov exponent is simple
• Tail indices for \(AX+B\) recursion with triangular matrices
• Stationary probability measures on projective spaces 1: block-Lyapunov dominated systems
• Convergence to stable laws for multidimensional stochastic recursions: the case of regular matrices
• Stable laws and spectral gap properties for affine random walks
• Berry-Esseen bound and precise moderate deviations for products of random matrices
• Higher order asymptotics for large deviations. I
• On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model
• Moderate deviations and local limit theorems for the coefficients of random walks on the general linear group
• Asymptotically linear iterated function systems on the real line
• On the homogeneity at infinity of the stationary probability for an affine random walk
• On spectral properties of a family of transfer operators and convergence to stable laws for affine random walks
• A zero-one law for invariant measures and a local limit theorem for coefficients of random walks on the general linear group
• Invariant measure for quantum trajectories

This page was built for publication: Spectral gap properties for linear random walks and Pareto's asymptotics for affine stochastic recursions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q297434)