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

DOI10.1239/JAP/1402578642zbMATH Open1297.60046arXiv1212.4975OpenAlexW2051172865MaRDI QIDQ5169743FDOQ5169743

Authors: Shaun McKinlay 

Publication date: 11 July 2014

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

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.

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

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zbMATH Keywords

limit distributionMarkov chainDirichlet distributionproducts of random matricesrandom exchange modelrandom nested simplicesservice networks with polling

Mathematics Subject Classification ID

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

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Cited In (3)

• On explicit form of the stationary distributions for a class of bounded Markov chains
• On beta distributed limits of iterated linear random functions
• Asymptotic of products of Markov kernels. Application to deterministic and random forward/backward products

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