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Random Iteration with Place Dependent Probabilities

Kapica Rafał, Ślęczka Maciej

Probability and Mathematical Statistics

2020

Vol. 40, Fasc. 1

119--137

We consider Markov chains arising from random iteration of functions Sθ : X → X, θ ϵ Θ, where X is a Polish space and Θ is an arbitrary set of indices. At x ϵ X, θ is sampled from a distribution ϑx on Θ, and the ϑx are different for different x. Exponential convergence to a unique invariant measure is proved. This result is applied to the case of random affine transformations on Rd, giving the existence of exponentially attractive perpetuities with place dependent probabilities.