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arXiv · 1505.02834

On the growth rate of a linear stochastic recursion with Markovian dependence

Dan Pirjol·Lingjiong Zhu
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Abstract

We consider the linear stochastic recursion $x_{i+1} = a_{i}x_{i}+b_{i}$ where the multipliers $a_i$ are random and have Markovian dependence given by the exponential of a standard Brownian motion and $b_{i}$ are i.i.d. positive random noise independent of $a_{i}$. Using large deviations theory we study the growth rates (Lyapunov exponents) of the positive integer moments $λ_q = \lim_{n\to \infty} \frac{1}{n} \log\mathbb{E}[(x_n)^q]$ with $q\in \mathbb{Z}_+$. We show that the Lyapunov exponents $λ_q$ exist, under appropriate scaling of the model parameters, and have non-analytic behavior manifested as a phase transition. We study the properties of the phase transition and the critical exponents using both analytic and numerical methods.

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Dan Pirjol, Lingjiong Zhu. 2015-08-03. On the growth rate of a linear stochastic recursion with Markovian dependence. https://doi.org/10.1007/s10955-015-1280-3

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