Random iteration with place dependent probabilities

Details Random iteration with place dependent probabilities Random iteration with place dependent probabilities

2011-07-04

arxiv.org/abs/1107.0707v1

Mathematics

Probability

18 pages

Scientific paper

Markov chains arising from random iteration of functions $S_{\theta}:X\to X$, $\theta \in \Theta$, where $X$ is a Polish space and $\Theta$ is arbitrary set of indices are considerd. At $x\in X$, $\theta$ is sampled from distribution $\theta_x$ on $\Theta$ and $\theta_x$ are different for different $x$. Exponential convergence to a unique invariant measure is proved. This result is applied to case of random affine transformations on ${\mathbb R}^d$ giving existence of exponentially attractive perpetuities with place dependent probabilities.

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