Large deviation expansions for the coefficients of random walks on the general linear group

DOI10.1214/23-AOP1621zbMATH Open1518.60040arXiv2010.00553OpenAlexW4287649810MaRDI QIDQ6116325FDOQ6116325

Authors: Hui Xiao, Ion Grama, Quansheng Liu 

Publication date: 18 July 2023

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: Let $(g_n{)}_{ngeq1}$ be a sequence of independent and identically distributed elements of the general linear group $GL(d,mathbbR)$. Consider the random walk $G_n:=g_{n}ldots{g}_1$. Under suitable conditions, we establish Bahadur-Rao-Petrov type large deviation expansion for the coefficients $langlef,G_{n}vangle$, where $fin(mathbb{R}^d{)}^{\ast }$ and $vinmathbb{R}^d$. In particular, our result implies the large deviation principle with an explicit rate function, thus improving significantly the large deviation bounds established earlier. Moreover, we establish Bahadur-Rao-Petrov type large deviation expansion for the coefficients $langlef,G_{n}vangle$ under the changed measure. Toward this end we prove the H"{o}lder regularity of the stationary measure corresponding to the Markov chain $G_{n}v/|G_{n}v|$ under the changed measure, which is of independent interest. In addition, we also prove local limit theorems with large deviations for the coefficients of $G_n$.

Full work available at URL: https://arxiv.org/abs/2010.00553

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zbMATH Keywords

spectral gapcoefficientsproducts of random matriceslarge deviation expansionregularity of invariant measure

Mathematics Subject Classification ID

Large deviations (60F10) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05) Ergodic theorems, spectral theory, Markov operators (37A30) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

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Cited In (3)

• Large and moderate deviations for the left random walk on \(GL_d(\mathbb{R})\)
• Berry-Esseen bounds and moderate deviations for random walks on \(\mathrm{GL}_d(\mathbb{R})\)
• Moderate deviations and local limit theorems for the coefficients of random walks on the general linear group

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