Asymptotic behavior for iterated functions of random variables
Li, Deli ; Rogers, T. D.
Ann. Appl. Probab., Tome 9 (1999) no. 1, p. 1175-1201 / Harvested from Project Euclid
Let $\mathscr{D} \subseteq (-\infty, \infty)$ be closed domain and set $\xi = \inf{x;x \epsilon \mathscr{D}}$. Let the sequence $\mathscr{X}^n = {X_j^{(n)}; j \geq 1}, n \geq 1$ be associated with the sequence of measurable iterated functions $f_n(x_1, x_2,\dots, x_{k_n}): \mathscr{D}^{k_n} \rightarrow \mathscr{D} (k_n \geq 2), n \geq 1$ and some initial sequence $\mathscr{X}^{(0)} = {X_j^{(0)}; j \geq 1}$ of stationary and m-dependent random variables such that $P(X_1^{(0)} \epsilon \mathscr{D}) = 1$ and $X_j^{(n)} = f_n(X_{(j-1)k_n+1}^{(n-1)},\dots, X_{jk_n}^{(n-1)}), j \geq 1, n \geq 1$. This paper studies the asymptotic behavior for the hierarchical sequence ${X_1^{(n)}; n \geq 0}$. We establish general asymptotic results for such sequences under some surprisingly relaxed conditions. Suppose that, for each $n \geq 1$, there exist $k_n$ non-negative constants $\alpha_{n, i}, 1 \leq i \leq k_n$ such that $\Sigma_{i=1}^{k_n} \alpha_{n, i} = 1$ and $f_n(x_1,\dots, x_{k_n}) \leq \Sigma_{i=1}^{k_n} \alpha_{n, i}x_i, \forall(x_1,\dots, x_{k_n}) \epsilon \mathscr{D}^{k_n}$. If $\Pi_{j=1}^n \max_{1\leqi\leqk_j \alpha_{j, i} \rightarrow 0$ as $n \rightarrow \infty$ and $E(X_1^{(n)}) \downarrow \lambda$ as $n \rightarrow \infty$ and $X_1^{(n)} \rightarrow_P \lambda$. We conclude with various examples, comments and open questions and discuss further how our results can be applied to models arising in mathematical physics.
Publié le : 1999-11-14
Classification:  Asymptotic behavior,  hierarchical models,  law of large numbers,  order statistics,  weighted sums,  60F15,  60F99,  58F11,  62G30
@article{1029962869,
     author = {Li, Deli and Rogers, T. D.},
     title = {Asymptotic behavior for iterated functions of random
		 variables},
     journal = {Ann. Appl. Probab.},
     volume = {9},
     number = {1},
     year = {1999},
     pages = { 1175-1201},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1029962869}
}
Li, Deli; Rogers, T. D. Asymptotic behavior for iterated functions of random
		 variables. Ann. Appl. Probab., Tome 9 (1999) no. 1, pp.  1175-1201. http://gdmltest.u-ga.fr/item/1029962869/