On the invariant measure of the random difference equation X_n = a_nx_n - 1 + b_n in the critical case

DOI10.1214/10-AIHP406zbMATH Open1259.60077arXiv0809.1864OpenAlexW2963374534MaRDI QIDQ424697FDOQ424697

Dariusz Buraczewski, Sara Brofferio, Ewa Damek

Publication date: 4 June 2012

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

Abstract: We consider the autoregressive model on $R^d$ defined by the following stochastic recursion $X_n=A_n{X}_{n-1}+B_n$, where $(B_n,A_n)$ are i.i.d. random variables valued in $R^{d}imes{R}^{+}$. The critical case, when $$, was studied by Babillot, Bougeorol and Elie, who proved that there exists a unique invariant Radon measure $u$ for the Markov chain $X_n$. In the present paper we prove that the weak limit of properly dilated measure $u$ exists and defines a homogeneous measure on $R^{d}setminus0$.

Full work available at URL: https://arxiv.org/abs/0809.1864

zbMATH Keywords

random walkinvariant measureaffine grouphomogeneous measurerandom coefficients autoregressive model

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Sums of independent random variables; random walks (60G50) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

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Cited In (14)

• Lyapunov exponent for products of random Ising transfer matrices: the balanced disorder case
• Iterated random functions and slowly varying tails
• Random iteration with place dependent probabilities
• On tails of fixed points of the smoothing transform in the boundary case
• Title not available (Why is that?)
• On invariant measures of stochastic recursions in a critical case
• Linear stochastic equations in the critical case
• On the derivative martingale in a branching random walk
• Stationary probability measures on projective spaces 1: block-Lyapunov dominated systems
• On unbounded invariant measures of stochastic dynamical systems
• Random walks on the affine group of a homogeneous tree in the drift-free case
• Divergent Perpetuities Modulated by Regime Switches
• Tail homogeneity of invariant measures of multidimensional stochastic recursions in a critical case
• Critical intermittency in rational maps

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