Central limit theorems for iterated random Lipschitz mappings
Hennion, Hubert ; Hervé, Loïc
Ann. Probab., Tome 32 (2004) no. 1A, p. 1934-1984 / Harvested from Project Euclid
Let M be a noncompact metric space in which every closed ball is compact, and let G be a semigroup of Lipschitz mappings of M. Denote by (Yn)n≥1 a sequence of independent G-valued, identically distributed random variables (r.v.’s), and by Z an M-valued r.v. which is independent of the r.v. Yn, n≥1. We consider the Markov chain (Zn)n≥0 with state space M which is defined recursively by Z0=Z and Zn+1=Yn+1Zn for n≥0. Let ξ be a real-valued function on G×M. The aim of this paper is to prove central limit theorems for the sequence of r.v.’s (ξ(Yn,Zn−1))n≥1. The main hypothesis is a condition of contraction in the mean for the action on M of the mappings Yn; we use a spectral method based on a quasi-compactness property of the transition probability of the chain mentioned above, and on a special perturbation theorem.
Publié le : 2004-07-14
Classification:  Markov chains,  iterated function systems,  central limit theorems,  spectral method,  60J05,  60F05
@article{1089808416,
     author = {Hennion, Hubert and Herv\'e, Lo\"\i c},
     title = {Central limit theorems for iterated random Lipschitz mappings},
     journal = {Ann. Probab.},
     volume = {32},
     number = {1A},
     year = {2004},
     pages = { 1934-1984},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1089808416}
}
Hennion, Hubert; Hervé, Loïc. Central limit theorems for iterated random Lipschitz mappings. Ann. Probab., Tome 32 (2004) no. 1A, pp.  1934-1984. http://gdmltest.u-ga.fr/item/1089808416/