Tightness of products of random matrices and stability of linear stochastic systems

DOI10.1214/aop/1176992256zbMath0614.60008OpenAlexW2053093176MaRDI QIDQ1819812

Philippe Bougerol

Publication date: 1987

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176992256

zbMATH Keywords

largest Lyapunov exponentproducts of random matricesstability of linear stochastic systemstightness of sequences of n-fold convolutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random operators and equations (aspects of stochastic analysis) (60H25) Stochastic stability in control theory (93E15) Convergence of probability measures (60B10) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

Related Items (10)

Théorèmes limite pour les systèmes linéaires a coefficient markoviens. (Limit theorems for linear systems with Markovian coefficients) ⋮ Stochastic flows on a countable set: Convergence in distribution ⋮ Limit theorems for products of positive random matrices ⋮ Stationarity of GARCH processes and of some nonnegative time series ⋮ Convergence in distribution of products of \(d\times{}d\) random matrices ⋮ Stability and the Lyapounov exponent of threshold AR-ARCH models ⋮ Tightness of products of iid random matrices ⋮ Convergence in Distribution of Products of Random Matrices: A Semigroup Approach ⋮ Almost sure convergence of solutions to non-homogeneous stochastic difference equation ⋮ ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS

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