Stability of perpetuities in Markovian environment

DOI10.1080/10236198.2016.1271878zbMATH Open1371.60174arXiv1610.09965OpenAlexW2544216139MaRDI QIDQ4978645FDOQ4978645

Authors: Gerold Alsmeyer, Fabian Buckmann 

Publication date: 25 August 2017

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Abstract: The stability of iterations of affine linear maps $Ps{i}_n(x)=A_{n}x+B_n$, $n=1,2,ldots$, is studied in the presence of a Markovian environment, more precisely, for the situation when $(A_n,B_n{)}_{nge1}$ is modulated by an ergodic Markov chain $(M_n{)}_{nge0}$ with countable state space $mathcalS$ and stationary distribution $pi$. We provide necessary and sufficient conditions for the a.s. and the distributional convergence of the backward iterations $Ps{i}_{1}circldotscircPs{i}_n(Z_0)$ and also describe all possible limit laws as solutions to a certain Markovian stochastic fixed-point equation. As a consequence of the random environment, these limit laws are stochastic kernels from $mathcalS$ to $mathbbR$ rather than distributions on $mathbbR$, thus reflecting their dependence on where the driving chain is started. We give also necessary and sufficient conditions for the distributional convergence of the forward iterations $Ps{i}_{n}circldotscircPs{i}_1$. The main differences caused by the Markovian environment as opposed to the extensively studied case of independent and identically distributed (iid) $Ps{i}_1,Ps{i}_2,ldots$ are that: (1) backward iterations may still converge in distribution, if a.s. convergence fails, (2) the degenerate case when $A_1{c}_{M_1}+B_1=c_{M_0}$ a.s. for suitable constants $c_i$, $iinmathcalS$, is by far more complex than the degenerate case for iid $(A_n,B_n)$ when $A_{1}c+B_1=c$ a.s. for some $cinmathbbR$, and (3) forward and backward iterations generally have different laws given $M_0=i$ for $iinmathcalS$ so that the former ones need a separate analysis. Our proofs draw on related results for the iid-case, notably by Vervaat, Grinceviv{c}ius, and Goldie and Maller, in combination with recent results by the authors on fluctuation theory for Markov random walks.

Full work available at URL: https://arxiv.org/abs/1610.09965

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zbMATH Keywords

iterated function systemalmost sure convergenceMarkovian environmentperpetuityrandom affine mapdistributional convergencestochastic fixed-point equationforward-backward iteration

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Strong limit theorems (60F15) Markov renewal processes, semi-Markov processes (60K15) Processes in random environments (60K37) Random operators and equations (aspects of stochastic analysis) (60H25) Renewal theory (60K05)

Cited In (6)

• On solutions of the distributional Bellman equation
• Exponential functionals of Markov additive processes
• Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory
• An arcsine law for Markov random walks
• Conditions for convergence of random coefficient \(\mathrm{AR}(1)\) processes and perpetuities in higher dimensions
• Fluctuation theory for Markov random walks

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