English

Recurrence of multidimensional affine recursions in the critical case

Probability 2024-08-08 v1

Abstract

We prove, under different natural hypotheses, that the random multidimensional affine recursion Xn=AnXn1+BnRd,n1,X_n=A_nX_{n-1}+B_n\in\mathbb{R}^d, n \geq 1, is recurrent in the critical case. In particular we cover the cases where the matrices AnA_n are similarities, invertible, rank 1 or with non negative coefficients. These results are a consequence of a criterion of recurrence for a large class of affine recursions on Rd\mathbb R^d, based on some moment assumptions of the so-called ``reverse norm control random variable".

Keywords

Cite

@article{arxiv.2408.03853,
  title  = {Recurrence of multidimensional affine recursions in the critical case},
  author = {Richard Aoun and Sara Brofferio and Marc Peigné},
  journal= {arXiv preprint arXiv:2408.03853},
  year   = {2024}
}

Comments

27 pages