Convergence to stable laws for a class of multidimensional stochastic recursions

DOI10.1007/S00440-009-0233-7MaRDI QIDQ707599zbMATH OpenOpenAlexFDO

Authors Dariusz Buraczewski, Ewa Damek, Yves Guivarc'h

Publication date 8 October 2010

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0809.4349

multidimensional stable laws multidimensional stochastic recursions weak convergence of partial sums

Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05)

Abstract: We consider a Markov chain

{X_{n}}_{n = 0}^{8}

on

R^{d}

defined by the stochastic recursion

X_{n} = M_{n} X_{n - 1} + Q_{n}

, where

(Q_{n}, M_{n})

are i.i.d. random variables taking values in the affine group

H = R^{d} t i m e s m G L (R^{d})

. Assume that

M_{n}

takes values in the similarity group of

R^{d}

, and the Markov chain has a unique stationary measure

u

, which has unbounded support. We denote by

| M_{n} |

the expansion coefficient of

M_{n}

and we assume

E | M |^{a} = 1

for some positive

a

. We show that the partial sums

S_{n} = s u m_{k = 0}^{n} X_{k}

, properly normalized, converge to a normal law (

a g e 2

) or to an infinitely divisible law, which is stable in a natural sense (

a < 2

). These laws are fully nondegenerate, if

u

is not supported on an affine hyperplane. Under a natural hypothesis, we prove also a local limit theorem for the sums

S_{n}

. If

a l e 2

, proofs are based on the homogeneity at infinity of

u

and on a detailed spectral analysis of a family of Fourier operators

P_{v}

considered as perturbations of the transition operator

P

of the chain

X_{n}

. The characteristic function of the limit law has a simple expression in terms of moments of

u

(

a > 2

) or of the tails of

u

and of stationary measure for an associated Markov operator (

a l e 2

). We extend the results to the situation where

M_{n}

is a random generalized similarity.

Review text

The paper considers a Markov chain \(\{X_n\}_{n = 0}^\infty\) on \(\mathbb R^d\) defined by the stochastic recursion \(X_n= M_nX_{n-1}+ Q_n\), where \((Q_n,M_n)\) are i.i.d. random variables taking values in the affine group \(\mathbb R^d\times \text{GL}(\mathbb R^d)\). For the main part of the paper \({M_n}\) is assumed to belong to the similarity group of \(\mathbb R^d\). The authors investigate the weak convergence of the properly centered and normalized partial sums \(S_n= \sum_{k=1}^n {X_k}\) to a normal law or to an infinitely divisible law, which is stable in a natural sense. A local limit theorem for the sums \(S_n\) is proved under an aperiodicity hypothesis.

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