Nonconventional random matrix products

Yuri Kifer, Sasha Sodin

Research output: Contribution to journalArticlepeer-review

Abstract

Let ξ1, ξ2, … be independent identically distributed random variables and F: ℝl → SLd(ℝ) be a Borel measurable matrix-valued function. Set Xn = F(ξq1(n), ξq2(n), …, ξql(n)) where 0 ≤ q1 < q2 < … < ql are increasing functions taking on integer values on integers. We study the asymptotic behavior as N → ∞ 1 of the singular values of the random matrix product ΠN = XN … X2X1 and show, in particular, that (under certain conditions) [math] converges with probability one as N → ∞. We also obtain similar results for such products when ξi form a Markov chain. The essential difference from the usual setting appears since the sequence (Xn, n ≥ 1) is long-range dependent and nonstationary.

Original languageEnglish
JournalElectronic Communications in Probability
Volume23
DOIs
StatePublished - 2018

Bibliographical note

Publisher Copyright:
© 2018, University of Washington. All rights reserved.

Keywords

  • Avalanche principle
  • Large deviations
  • Nonconventional limit theorems
  • Random matrix products

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