English

Stable laws and spectral gap properties for affine random walks

Probability 2013-05-13 v3

Abstract

We consider a general multidimensional affine recursion with corresponding Markov operator PP and a unique PP-stationary measure. We show spectral gap properties on H\"older spaces for the corresponding Fourier operators and we deduce convergence to stable laws for the Birkhoff sums along the recursion. The parameters of the stable laws are expressed in terms of basic quantities depending essentially on the matricial multiplicative part of PP. Spectral gap properties of PP and homogeneity at infinity of the PP-stationary measure play an important role in the proofs.

Keywords

Cite

@article{arxiv.1108.3146,
  title  = {Stable laws and spectral gap properties for affine random walks},
  author = {Zhiqiang Gao and Yves Guivarc'h and Emile Le Page},
  journal= {arXiv preprint arXiv:1108.3146},
  year   = {2013}
}

Comments

31 pages. Accepted by AIHP