On the affine recursion on R_d+ in the critical case

Abstract

We fix d ≥ 2 and denote S the semi-group of d× d matrices with non negative entries. We consider a sequence (An, Bn)n≥1 of i. i. d. random variables with values in S × R+ and study the asymptotic behavior of the Markov chain (Xn)n≥0 on R+ defined by: ∀n ≥ 0, Xn+1 = An+1Xn +Bn+1, where X0 is a fixed random variable. We assume that the Lyapunov exponent of the matrices An equals 0 and prove, under quite general hypotheses, that there exists a unique (infinite) Radon measure λ on (R+)d which is invariant for the chain (Xn)n≥0. The existence of λ relies on a recent work by T.D.C. Pham about fluctuations of the norm of product of random matrices [16]. Its unicity is a consequence of a general property, called “local contractivity”, highlighted about 20 years ago by M. Babillot, Ph. Bougerol et L. Elie in the case of the one dimensional affine recursion [1] .