Time-inhomogeneous random Markov chains

DOI10.1088/1742-5468/AAE028MaRDI QIDQ3303215zbMATH OpenOpenAlexFDO

Authors

Publication date 11 August 2020

Published in Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1805.10362

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: We consider Markov chains with random transition probabilities which, moreover, fluctuate randomly with time. We describe such a system by a product of stochastic matrices, $U(t)=M_{t}cdots{M}_1$, with the factors $M_i$ drawn independently from an ensemble of random Markov matrices, whose columns are independent Dirichlet random variables. The statistical properties of the columns of $U(t)$, its largest eigenvalue and its spectrum are obtained exactly for $N=2$ and numerically investigated for general $N$. For large $t$, the columns are Dirichlet-distributed, however the distribution is different from the initial one. As for the spectrum, we find that the eigenvalues converge to zero exponentially fast and investigate the statistics of the largest Lyapunov exponent, which is well approximated the a Gamma distribution. We also observe a concentration of the spectrum on the real line for large $t$.

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Cited in

(13)

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