Persistence of AR($1$) sequences with Rademacher innovations and linear mod $1$ transforms

Abstract

We study the probability that an AR(1) Markov chain $X_{n+1}=aX_n+ξ_{n+1}$, where $a\in(0,1)$ is a constant, stays non-negative for a long time. We find the exact asymptotics of this probability and the weak limit of $X_n$ conditioned to stay non-negative, assuming that the i.i.d.\ innovations $ξ_n$ take only two values $\pm1$ and $a \le \frac23$. This limiting distribution is quasi-stationary. It has no atoms and is singular with respect to the Lebesgue measure when $\frac12< a \le \frac23$, except for the case $a=\frac23$ and $\mathbb{P}(ξ_n=1)=\frac12$, where this distribution is uniform on the interval $[0,3]$. This is similar to the properties of Bernoulli convolutions. For $0 < a \le \frac12$, the situation is much simpler, and the limiting distribution is a $δ$-measure. To prove these results, we uncover a close connection between $X_n$ killed at exiting $[0, \infty)$ and the classical dynamical system defined by the piecewise linear mapping $x \mapsto \frac1a x + \frac12 \pmod 1$. Namely, the trajectory of this system started at $X_n$ deterministically recovers the values of the killed chain in reversed time. We use this fact to construct a suitable Banach space, where the transition operator of the killed chain has the compactness properties that allow us to apply a conventional argument of the Perron--Frobenius type.