On the tails of the invariant measure for multidimensional affine stochastic recursions in the critical case

Source abstract

We study the behavior at infinity of the invariant Radon measure for the multidimensional affine stochastic recursion $V_n = A_n V_{n-1} + B_n,$ where $(A_n)_{n \geq 1}$ are positive random matrices, $(B_n)_{n \geq 1}$ are random vectors with nonnegative entries, and $(A_n, B_n)_{n \geq 1}$ are independent and identically distributed. In the critical regime where the top Lyapunov exponent of the random matrix products $A_n \cdots A_1$ is zero, Brofferio, Peigné and Pham [6] recently established the existence and uniqueness, up to multiplication by a constant, of an invariant Radon measure with infinite total mass. They proved that the tail behavior of this measure when applied to radial sets is governed by a slowly varying function. Our goal is to show that this slowly varying function is actually bounded. Moreover, we investigate directional tail behavior.