Heavy tail phenomenon and convergence to stable laws for iterated Lipschitz maps

Abstract

We consider the Markov chain $\{X_n^x\}_{n=0}^\infty$ on $\R^d$ defined by the stochastic recursion $X_{n}^{x}=\p_{θ_{n}}(X_{n-1}^{x})$, starting at $x\in\R^d$, where $θ_{1}, θ_{2},...$ are i.i.d. random variables taking their values in a metric space $(Θ, \mathfrak{r}),$ and $\p_{θ_{n}}:\R^d\mapsto\R^d$ are Lipschitz maps. Assume that the Markov chain has a unique stationary measure $ν$. Under appropriate assumptions on $\p_{θ_n}$, we will show that the measure $ν$ has a heavy tail with the exponent $α>0$ i.e. $ν(\{x\in\R^d: |x|>t\})\asymp t^{-α}$. Using this result we show that properly normalized Birkhoff sums $S_n^x=\sum_{k=1}^n X_k^x$, converge in law to an $α$--stable law for $α\in(0, 2]$.