On the affine recursion on $\mathbb R_+^d$
Abstract
We fix and denote the semi-group of matrices with non negative entries. We consider a sequence of i. i. d. random variables with values in and study the asymptotic behavior of the Markov chain on defined by: where is a fixed random variable. We assume that the Lyapunov exponent of the matrices equals and prove, under quite general hypotheses, that there exists a unique (infinite) Radon measure on which is invariant for the chain . The existence of relies on a recent work by T.D.C. Pham about fluctuations of the norm of product of random matrices . Its unicity is a consequence of a general property, called "local contractivity", highlighted about 20 years ago by M. Babillot, Ph. Bougerol et L. Elie in the case of the one dimensional affine recursion .
Cite
@article{arxiv.2003.09380,
title = {On the affine recursion on $\mathbb R_+^d$},
author = {Sara Brofferio and Marc Peigné and Thi Da Cam Pham},
journal= {arXiv preprint arXiv:2003.09380},
year = {2020}
}