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

DOI10.1214/10-AIHP406MaRDI QIDQ424697zbMATH OpenOpenAlexFDO

Authors Sara Brofferio, Dariusz Buraczewski, Ewa Damek

Publication date 4 June 2012

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/0809.1864, https://projecteuclid.org/euclid.aihp/1334148204

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)

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 $R^{d}setminus0$.

Recommendations

• How a centred random walk on the affine group goes to infinity
• On invariant measures of stochastic recursions in a critical case
• Random walks on the affine group of a homogeneous tree in the drift-free case
• On unbounded invariant measures of stochastic dynamical systems
• Probability on groups: Random walks and invariant diffusions
• scientific article; zbMATH DE number 7350834
• Régularité de processus du sauts dégénérés
• Un TCL avec vitesse pour la marche aléatoire gauche sur le groupe affine de \(R^{d}\). (A CLT with rate of convergence for the left random walk on the affine group on \(R^{d}\))

Cites work

• scientific article; zbMATH DE number 3151943 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• scientific article; zbMATH DE number 3299226 (Why is no real title available?)
• A local limit theorem on the semi-direct product of \(\mathbb{R}^{*+}\) and \(\mathbb{R}^ d\)
• Asymptotic Behavior of Poisson Kernels on NA Groups
• Asymptotic behavior of the invariant measure for a diffusion related to an NA group
• Comportement asymptotique du noyau potentiel sur les groupes de Lie
• Hardy Spaces on Homogeneous Groups. (MN-28), Volume 28
• How a centred random walk on the affine group goes to infinity
• Implicit renewal theory and tails of solutions of random equations
• On invariant measures of stochastic recursions in a critical case
• On tails of fixed points of the smoothing transform in the boundary case
• Potential theory of random wlaks on Abelian groups
• Random difference equations and renewal theory for products of random matrices
• Random walks on the affine group of local fields and of homogeneous trees
• The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case

Cited in

(16)

• Critical intermittency in rational maps
• Speed of stochastic locally contractive systems.
• Iterated random functions and slowly varying tails
• Lyapunov exponent for products of random Ising transfer matrices: the balanced disorder case
• Random iteration with place dependent probabilities
• On tails of fixed points of the smoothing transform in the boundary case
• scientific article; zbMATH DE number 7350834 (Why is no real title available?)
• 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
• Divergent perpetuities modulated by regime switches
• Stationary probability measures on projective spaces 1: block-Lyapunov dominated systems
• On unbounded invariant measures of stochastic dynamical systems
• Recurrence and transience of random difference equations in the critical case
• Random walks on the affine group of a homogeneous tree in the drift-free case
• Tail homogeneity of invariant measures of multidimensional stochastic recursions in a critical case

This page was built for publication: On the invariant measure of the random difference equation \(X_{n} = a_{n}x_{n - 1} + b_{n}\) in the critical case

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q424697)