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

affine stochastic recursionPareto asymptoticsrandom matricesrenewal theoremspectral gap

Mathematics Subject Classification ID

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

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