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

DOI10.1214/15-AIHP668zbMATH Open1357.60010arXiv1204.6004MaRDI QIDQ297434FDOQ297434

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)

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 $Sigm{a}_0^{infty}m{u}^k*delt{a}_v$, 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 $V$.

Full work available at URL: https://arxiv.org/abs/1204.6004

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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)

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