We establish a stochastic nonlinear analogue of the Perron–Frobenius theorem on eigenvalues and eigenvectors of positive matrices. The result is formulated in terms of an automorphism T of a probability space and a random transformation D of the non-negative cone of an n-dimensional Euclidean space. Under assumptions of monotonicity and homogeneity of D, we prove the existence of scalar and vector measurable functions α > 0 and x > 0 satisfying the equation αTx = D(x) almost surely. We apply the result obtained to the analysis of a class of random dynamical systems arising in mathematical economics and finance (von Neumann–Gale dynamical systems).
Positivity – Springer Journals
Published: Jan 8, 2009
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