Convergence in total variation of an affine random recursion in \({[0, p)}^k\) to a uniform random vector (Q2860798)

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scientific article; zbMATH DE number 6225376
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Convergence in total variation of an affine random recursion in \({[0, p)}^k\) to a uniform random vector
scientific article; zbMATH DE number 6225376

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    11 November 2013
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    convergence in total variation
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    continuous Markov chains
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    uniform ergodicity
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    generating random vectors
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    rate of convergence
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    Convergence in total variation of an affine random recursion in \({[0, p)}^k\) to a uniform random vector (English)
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    The author studies the rate of convergence of the \(k\)-dimensional Markov chain NEWLINE\[NEWLINE\mathbf{X}_{n+1}=A\mathbf{X}{}_{n}{}_+\mathbf{B}{}_{n}\mod p,NEWLINE\]NEWLINE where \(A\) is an integer matrix, \((\mathbf{B}_{n})\) is a sequence of i.i.d.\ real random vectors, and \(p>0\). The variation distance of two probability measures \(\varphi\) and \(\psi\) on the measurable space \((E,\mathcal{E})\) is defined by NEWLINE\[NEWLINE\|\varphi-\psi\|:=\sup_{A\in\mathcal{E}}|\varphi(A)-\psi(A)|.NEWLINE\]NEWLINE Put NEWLINE\[NEWLINE\operatorname{P}_{x_0}^{n}(A)=\operatorname{P}(X_n\in A\mid X_0=x_0);NEWLINE\]NEWLINE then \((X_n)\) is {\parindent=6mm \begin{itemize}\item[(a)] \(\varphi\)-irreducible if there exists a measure \(\varphi\) on \((E,\mathcal{E})\) such that, for all \(A\in\mathcal{E}\) with \(\varphi(A)>0\) and \(x_0\in E\), there exists \(n=n(x_0,A)\) such that \(\operatorname{P}_{x_0}^{n}(A)>0\), \item[(b)] uniformly ergodic if \(\lim_{n\to+\infty} \sup_{x_0\in E} \|\operatorname{P}_{x_0}^{n}-\pi\|=0\), where \(\pi\) is a probability measure on \((E,\mathcal{E})\).NEWLINENEWLINE\end{itemize}}NEWLINENEWLINEThe author proves that \((X_n)\) is uniformly ergodic for \(\pi=\mathcal{L}_{\mathbf{U}}\), the uniform distribution on \([0,p)^k\).
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