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arXiv 1909.05065math.PR
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李群上随机游动的大偏差

Large deviations for random walks on Lie groups

Rik Versendaal

摘要:

研究了$σ_n^n = \exp(\frac1nX_1)\cdots\exp(\frac1nX_n)$定义的李群上随机游动的大偏差,其中$\{X_n\}_{n\geq1}$是李代数$\mathfrak{g}$中有界随机变量的独立同分布序列.我们遵循与[Ver19]中给出的测地线随机游动的大偏差的证明类似的方法。这种方法使得可以简单地重新调整随机游走的增量,而不必求助于扩张以减少高阶扩张器的影响。最后,我们将把这个大偏差结果应用于随机阵的李群。

英文摘要:

We study large deviations for random walks on Lie groups defined by $σ_n^n = \exp(\frac1nX_1)\cdots\exp(\frac1nX_n)$, where $\{X_n\}_{n\geq1}$ is an i.i.d sequence of bounded random variables in the Lie algebra $\mathfrak{g}$. We follow a similar approach as in the proof of large deviations for geodesic random walks as given in [Ver19]. This approach makes it possible to simply rescale the increments of the random walk, without having to resort to dilations in order to reduce the influence of higher order commutators. Finally, we will apply this large deviation result to the Lie group of stochastic matrices.

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