English

On the affine recursion on $\mathbb R_+^d$

Probability 2020-03-23 v1

Abstract

We fix d2d \geq 2 and denote S\mathcal S the semi-group of d×dd \times d matrices with non negative entries. We consider a sequence (An,Bn)n1(A_n, B_n)_{n \geq 1} of i. i. d. random variables with values in S×R+d\mathcal S\times \mathbb R_+^d and study the asymptotic behavior of the Markov chain (Xn)n0(X_n)_{n \geq 0} on R+d \mathbb R_+^d defined by: n0,Xn+1=An+1Xn+Bn+1, \forall n \geq 0, \qquad X_{n+1}=A_{n+1}X_n+B_{n+1}, where X0X_0 is a fixed random variable. We assume that the Lyapunov exponent of the matrices AnA_n equals 00 and prove, under quite general hypotheses, that there exists a unique (infinite) Radon measure λ\lambda on (R+)d(\mathbb R^+)^d which is invariant for the chain (Xn)n0(X_n)_{n \geq 0}. The existence of λ\lambda 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 .

Keywords

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}
}
R2 v1 2026-06-23T14:21:43.437Z