Stability of perpetuities in Markovian environment

DOI10.1080/10236198.2016.1271878MaRDI QIDQ4978645zbMATH OpenOpenAlexFDO

Authors Gerold Alsmeyer, Fabian Buckmann

Publication date 25 August 2017

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

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

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)

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.

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Cited in

(6)

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

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