Stochastic fixed points and nonlinear Perron-Frobenius theorem

DOI10.1090/PROC/14075MaRDI QIDQ3177844zbMATH OpenOpenAlexFDO

Authors Esmaeil Babaei, S. A. Pirogov, Igor V. Evstigneev

Publication date 2 August 2018

Published in Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1611.03023

zbMATH Keywords

contraction mappingrandom dynamical systemPerron-Frobenius theorystochastic equationHilbert-Birkhoff metricnonlinear cocycle

Mathematics Subject Classification ID

Generation, random and stochastic difference and differential equations (37H10) Random dynamical systems aspects of multiplicative ergodic theory, Lyapunov exponents (37H15) General theory of random and stochastic dynamical systems (37H05)

Abstract: We provide conditions for the existence of measurable solutions to the equation $xi(Tomega)=f(omega,xi(omega))$, where $T:OmegaightarrowOmega$ is an automorphism of the probability space $Omega$ and $f(omega,cdot)$ is a strictly non-expansive mapping. We use results of this kind to establish a stochastic nonlinear analogue of the Perron-Frobenius theorem on eigenvalues and eigenvectors of a positive matrix. We consider a random mapping $D(omega)$ of a random closed cone $K(omega)$ in a finite-dimensional linear space into the cone $K(Tomega)$. Under assumptions of monotonicity and homogeneity of $D(omega)$, we prove the existence of scalar and vector measurable functions $alpha(omega)>0$ and $x(omega)inK(omega)$ satisfying the equation $alpha(omega)x(Tomega)=D(omega)x(omega)$ almost surely.

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