Stochastic fixed points and nonlinear Perron-Frobenius theorem

DOI10.1090/PROC/14075zbMATH Open1396.37059arXiv1611.03023OpenAlexW2559723609MaRDI QIDQ3177844FDOQ3177844

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

Publication date: 2 August 2018

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

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.

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

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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)

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Cited In (3)

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• The contractivity of cone-preserving multilinear mappings
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