Abstract
The stability of iterations of affine linear maps ,
, is studied in the presence of a Markovian environment, more precisely, for the situation when
is modulated by an ergodic Markov chain
with countable state space
and stationary distribution
. We provide necessary and sufficient conditions for the a.s. and the distributional convergence of the backward iterations
and also describe all possible limit laws as solutions to a certain Markovian stochastic fixed-point equation. As a consequence of the random environment, these limit laws are stochastic kernels from
to
rather than distributions on
, thus reflecting their dependence on where the driving chain is started. We give also necessary and sufficient conditions for the distributional convergence of the forward iterations
. The main differences caused by the Markovian environment as opposed to the extensively studied case of independent and identically distributed (iid)
are that: (1) backward iterations may still converge in distribution if a.s. convergence fails, (2) the degenerate case when
a.s. for suitable constants
,
, is by far more complex than the degenerate case for iid
when
a.s. for some
, and (3) forward and backward iterations generally have different laws given
for
so that the former ones need a separate analysis. Our proofs draw on related results for the iid-case, notably by Vervaat, Grincevičius, and Goldie and Maller, in combination with recent results by the authors on fluctuation theory for Markov random walks.
Notes
No potential conflict of interest was reported by the authors.