Spectral gap properties for linear random walks and Pareto's asymptotics for affine stochastic recursions

Abstract

Let $V=\mathbb R^d$ be the Euclidean $d$-dimensional space, $\mu$ (resp $\lambda$) a probability measure on the linear (resp affine) group $G=G L (V)$ (resp $H= \Aff (V))$ and assume that $\mu$ is the projection of $\lambda$ on $G$. We study asymptotic properties of the iterated convolutions $\mu^n *\delta\_{v}$ (resp $\lambda^n*\delta\_{v})$ if $v\in V$, i.e asymptotics of the random walk on $V$ defined by $\mu$ (resp $\lambda$), if the subsemigroup $T\subset G$ (resp.\ $\Sigma \subset H$) generated by the support of $\mu$ (resp $\lambda$) is "large". We show spectral gap properties for the convolution operator defined by $\mu$ on spaces of homogeneous functions of degree $s\geq 0$ on $V$, which satisfy H{\"o}lder type conditions. As a consequence of our analysis we get precise asymptotics for the potential kernel $\Sigma\_{0}^{\infty} \mu^k * \delta\_{v}$, which imply its asymptotic homogeneity. Under natural conditions the $H$-space $V$ is a $\lambda$-boundary; then we use the above results and radial Fourier Analysis on $V\setminus \{0\}$ to show that the unique $\lambda$-stationary measure $\rho$ on $V$ is "homogeneous at infinity" with respect to dilations $v\rightarrow t v$ (for $t\textgreater{}0$), with a tail measure depending essentially of $\mu$ and $\Sigma$. Our proofs are based on the simplicity of the dominant Lyapunov exponent for certain products of Markov-dependent random matrices, on the use of renewal theorems for "tame" Markov walks, and on the dynamical properties of a conditional $\lambda$-boundary dual to $V$.