Limit theorems for the coefficients of random walks on the general linear group
Abstract
Let (gn)n≥ 1 be a sequence of independent and identically distributed random elements with law μ on the general linear group GL(V), where V= Rd. Consider the random walk Gn : = gn … g1, n ≥ 1, and the coefficients f, Gn v , where v ∈ V and f ∈ V*. Under suitable moment assumptions on μ, we prove the strong and weak laws of large numbers and the central limit theorem for f, Gn v , which improve the previous results established under the exponential moment condition on μ. We further demonstrate the Berry-Esseen bound, the Edgeworth expansion, the Cram\'er type moderate deviation expansion and the local limit theorem with moderate deviations for f, Gn v under the exponential moment condition. Under a subexponential moment condition on μ, we also show a Berry-Esseen type bound and the moderate deviation principle for f, Gn v . Our approach is based on various versions of the H\"older regularity of the invariant measure of the Markov chain Gn \!· \! x = R Gn v on the projective space of V with the starting point x = R v.
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