Abstract
Let $\mu^n$ be the distribution of a product of $n$ independent identically distributed random matrices. We study tightness and convergence of the sequence $\{\mu^n, n \geq 1\}$. We apply this to linear stochastic differential (and difference) equations, characterize the stability in probability, in the sense of Hashminski, of the zero solution, and find all their stationary solutions.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have