English

Stable laws and products of positive random matrices

Probability 2008-01-25 v1 Functional Analysis

Abstract

Let SS be the multiplicative semigroup of q×qq\times q matrices with positive entries such that every row and every column contains a strictly positive element. Denote by (Xn)n1(X_n)_{n\geq1} a sequence of independent identically distributed random variables in SS and by X(n)=Xn...X1X^{(n)} = X_n ... X_1, n1 n\geq 1, the associated left random walk on SS. We assume that (Xn)n1(X_n)_{n\geq1} verifies the contraction property (n1[X(n)S])>0\P(\bigcup_{n\geq1}[X^{(n)} \in S^\circ])>0, where SS^\circ is the subset of all matrices which have strictly positive entries. We state conditions on the distribution of the random matrix X1X_1 which ensure that the logarithms of the entries, of the norm, and of the spectral radius of the products X(n)X^{(n)}, n1n\ge 1, are in the domain of attraction of a stable law.

Keywords

Cite

@article{arxiv.0801.3780,
  title  = {Stable laws and products of positive random matrices},
  author = {Hubert Hennion and Loic Hervé},
  journal= {arXiv preprint arXiv:0801.3780},
  year   = {2008}
}

Comments

14 pages. To appear in Journal of Theoretical Probability

R2 v1 2026-06-21T10:06:08.495Z