A Transient Random Walk on Stochastic Matrices with Dirichlet Distributions
Chamayou, Jean-Francois ; Letac, Gerard
Ann. Probab., Tome 22 (1994) no. 4, p. 424-430 / Harvested from Project Euclid
Let $X_1$ be a $(d \times d)$ random stochastic matrix such that the rows of $X_1$ are independent, with Dirichlet distributions. The rows of the $(d \times d)$ matrix $A$ are the parameters of these Dirichlet distributions, and we assume that the sums of the rows and columns of $A$ provide the same vector $r = (r_1,\ldots,r_d)$. If $(X_n)^\infty_{n=1}$ are i.i.d., we prove that $\lim_{n\rightarrow\infty}(X_n \cdots X_1)$ almost surely has identical rows, which are Dirichlet distributed with parameter $r$. Van Assche has proved this for $d = 2$ and four identical entries for $A$.
Publié le : 1994-01-14
Classification:  Products of random matrices,  perturbation of Markov chains,  characterization of Dirichlet distributions,  60J15,  60E10
@article{1176988865,
     author = {Chamayou, Jean-Francois and Letac, Gerard},
     title = {A Transient Random Walk on Stochastic Matrices with Dirichlet Distributions},
     journal = {Ann. Probab.},
     volume = {22},
     number = {4},
     year = {1994},
     pages = { 424-430},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176988865}
}
Chamayou, Jean-Francois; Letac, Gerard. A Transient Random Walk on Stochastic Matrices with Dirichlet Distributions. Ann. Probab., Tome 22 (1994) no. 4, pp.  424-430. http://gdmltest.u-ga.fr/item/1176988865/