Infinite products of random matrices and repeated interaction dynamics

DOI10.1214/09-AIHP211MaRDI QIDQ985329zbMATH OpenFDO

Authors Laurent Bruneau, A. Joye, M. Merkli

Publication date 21 July 2010

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0703675, https://eudml.org/doc/241798

zbMATH Keywords

ergodic theoremsproducts of random matriceslinear random dynamical systemsrandom `stochastic matrix'

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Ergodic theorems, spectral theory, Markov operators (37A30) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Random operators and equations (aspects of stochastic analysis) (60H25)

Abstract: Let $Ps{i}_n$ be a product of $n$ independent, identically distributed random matrices $M$, with the properties that $Ps{i}_n$ is bounded in $n$, and that $M$ has a deterministic (constant) invariant vector. Assuming that the probability of $M$ having only the simple eigenvalue 1 on the unit circle does not vanish, we show that $Ps{i}_n$ is the sum of a fluctuating and a decaying process. The latter converges to zero almost surely, exponentially fast as $noinfty$. The fluctuating part converges in Cesaro mean to a limit that is characterized explicitly by the deterministic invariant vector and the spectral data of $mathbbE[M]$ associated to 1. No additional assumptions are made on the matrices $M$; they may have complex entries and not be invertible. We apply our general results to two classes of dynamical systems: inhomogeneous Markov chains with random transition matrices (stochastic matrices), and random repeated interaction quantum systems. In both cases, we prove ergodic theorems for the dynamics, and we obtain the form of the limit states.

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Cited in

(15)

• Dispersion in macroeconomic volatility between the core and periphery of the international trade network
• Random repeated interaction quantum systems
• A Characterisation of Transient Random Walks on Stochastic Matrices with Dirichlet Distributed Limits
• Repeated and continuous interactions in open quantum systems
• Markovian repeated interaction quantum systems
• Classical noises emerging from quantum environments
• Random time-dependent quantum walks
• Random repeated quantum interactions and random invariant states
• Correlated Markov quantum walks
• Repeated interactions in open quantum systems
• Quantum measurements of scattered particles
• Repeated interaction quantum systems: Van Hove limits and asymptotic states
• The dynamics of stochastic mono-molecular reaction systems in stochastic environments
• Convergence rate of Markov chains over switching distance regular networks
• Repeated quantum interactions and Unitary random walks

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