Multiplicative ergodicity of Laplace transforms for additive functional of Markov chains

Loïc Hervé (1) , Sana Louhichi (2) , Françoise Pene (3)

1 IRMAR - Institut de Recherche Mathématique de Rennes
2 IPS - Inférence Processus Stochastiques
3 LMBA - Laboratoire de Mathématiques de Bretagne Atlantique

This article is motivated by the quantitative study of the exponential growth of Markov-driven bifurcating processes [see Hervé et al., ESAIM: PS 23 (2019) 584–606]. In this respect, a key property is the multiplicative ergodicity, which deals with the asymptotic behaviour of some Laplace-type transform of nonnegative additive functional of a Markov chain. We establish a spectral version of this multiplicative ergodicity property in a general framework. Our approach is based on the use of the operator perturbation method. We apply our general results to two examples of Markov chains, including linear autoregressive models. In these two examples the operator-type assumptions reduce to some expected finite moment conditions on the functional (no exponential moment conditions are assumed in this work).

Domaines: Probabilités [math.PR]

Loïc Hervé, Sana Louhichi, Françoise Pene. Multiplicative ergodicity of Laplace transforms for additive functional of Markov chains. ESAIM: Probability and Statistics, 2019, 23, pp.607-637. ⟨10.1051/ps/2019003⟩. ⟨hal-02317232⟩