A note on Kesten's Choquet-Deny lemma

Abstract

Let $d >1$ and $(A_n)_{n \in \mathbb{N}}$ be a sequence of independent identically distributed random matrices with nonnegative entries. This induces a Markov chain $M_n = A_n M_{n-1}$ on the cone $\mathbb{R}^d_{\ge} \setminus \{0\} = \mathbb{S}_\ge \times \mathbb{R}_>$. We study harmonic functions of this Markov chain. In particular, it is shown that all bounded harmonic functions in $\mathcal{C}_b(\mathbb{S}_\ge) \otimes\mathcal{C}_b(\mathbb{R}_>)$ are constant. The idea of the proof is originally due to Kesten [Renewal theory for functionals of a Markov chain with general state space, Ann. Prob. 2 (1974), 355 - 386], but is considerably shortened here. A similar result for invertible matrices is given as well.

There is an erratum in ECP volume 19 paper 20 (2014)