Stable laws and products of positive random matrices

DOI10.1007/S10959-008-0153-YzbMATH Open1154.60014OpenAlexW2036926884MaRDI QIDQ960185FDOQ960185

Authors Hubert Hennion, Loïc Hervé 

Publication date 16 December 2008

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

Full work available at URL https://arxiv.org/abs/0801.3780

zbMATH Keywords

stable lawsproducts of random matrices

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Random matrices (algebraic aspects) (15B52) Applications of operator theory in probability theory and statistics (47N30)

Abstract: Let $S$ be the multiplicative semigroup of $qimesq$ matrices with positive entries such that every row and every column contains a strictly positive element. Denote by $(X_n{)}_{ngeq1}$ a sequence of independent identically distributed random variables in $S$ and by $X^{(n)}=X_n\mathrm{...}{X}_1$, $ngeq1$, the associated left random walk on $S$. We assume that $(X_n{)}_{ngeq1}$ verifies the contraction property $$, where $S^{c}irc$ is the subset of all matrices which have strictly positive entries. We state conditions on the distribution of the random matrix $X_1$ which ensure that the logarithms of the entries, of the norm, and of the spectral radius of the products $X^{(n)}$, $nge1$, are in the domain of attraction of a stable law.

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Cited In (12)

• The stable processes on symmetric matrices
• On contraction properties for products of Markov driven random matrices
• Random polymers on the complete graph
• Probabilistic limit theorems via the operator perturbation method, under optimal moment assumptions
• Limit theorems for iid products of positive matrices
• Local limit theorem for randomly deforming billiards
• Conditioned limit theorems for products of positive random matrices
• The Nagaev-Guivarc'h method via the Keller-Liverani theorem
• Berry-Esseen bound and precise moderate deviations for products of random matrices
• On fixed points of a generalized multidimensional affine recursion
• The stability of large random matrices and their products
• Heavy tails for an alternative stochastic perpetuity model

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