A Characterisation of Transient Random Walks on Stochastic Matrices with Dirichlet Distributed Limits

DOI10.1239/JAP/1402578642MaRDI QIDQ5169743zbMATH OpenOpenAlexFDO

Authors Shaun McKinlay

Publication date 11 July 2014

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1212.4975

zbMATH Keywords

Dirichlet distributionlimit distributionMarkov chainproducts of random matricesrandom exchange modelrandom nested simplicesservice networks with polling

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15) Limit theorems in probability theory (60F99) Discrete-time Markov processes on general state spaces (60J05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Abstract: We characterise the class of distributions of random stochastic matrices $X$ with the property that the products $X(n)X(n-1)\mathrm{...}X(1)$ of i.i.d. copies $X(k)$ of $X$ converge a.s. as $nightarrowinfty$ and the limit is Dirichlet distributed. This extends a result by Chamayou and Letac (1994) and is illustrated by several examples that are of interest in applications.

Recommendations

• A transient random walk on stochastic matrices with Dirichlet distributions
• Limit distributions of random walks on stochastic matrices
• Limit theorems for functionals of irreversible random walks
• Some asymptotic results for transient random walks
• Transient Phenomena for Random Walks with Nonidentically Distributed Jumps with Infinite Variances
• Matrix Measures and Random Walks with a Block Tridiagonal Transition Matrix
• On a class of transient random walks in random environment

Cites work

• A Characterization of the Gamma Distribution
• A transient random walk on stochastic matrices with Dirichlet distributions
• Algebraic properties of beta and gamma distributions, and applications
• Convergence in distribution of products of random matrices
• Dirichlet and Related Distributions
• Donkey walk and Dirichlet distributions
• Ergodic theorems for coupled random walks and other systems with locally interacting components
• Explicit stationary distributions for compositions of random functions and products of random matrices
• Generalized potlatch and smoothing processes
• scientific article; zbMATH DE number 3913325 (Why is no real title available?)
• scientific article; zbMATH DE number 4128217 (Why is no real title available?)
• scientific article; zbMATH DE number 3026329 (Why is no real title available?)
• Infinite products of random matrices and repeated interaction dynamics
• Limit theorems for non-commutative operators. I
• Product of Random Stochastic Matrices and Distributed Averaging
• Products of 2 × 2 stochastic matrices with random entries
• Products of independent identically distributed stochastic matrices
• Products of Random Matrices
• Random motions, classes of ergodic Markov chains and beta distributions
• Random nested tetrahedra
• Stochastic give-and-take
• Topics in products of random matrices
• Use of moments in distribution theory: A multivariate case

Cited in

(5)

• A transient random walk on stochastic matrices with Dirichlet distributions
• Asymptotic of products of Markov kernels. Application to deterministic and random forward/backward products
• On beta distributed limits of iterated linear random functions
• On explicit form of the stationary distributions for a class of bounded Markov chains
• Gamma invariance and Dirichlet proportion for random exchange processes on graphs

This page was built for publication: A Characterisation of Transient Random Walks on Stochastic Matrices with Dirichlet Distributed Limits

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5169743)