On Kesten's Multivariate Choquet-Deny Lemma

Let $d >1$ and $(A_n)_{n \ge 1}$ be a sequence of independent identically distributed random matrices with nonnegative entries and no zero column. This induces a Markov chain $M_n = A_n M_{n-1}$ on the cone of d-vectors with nonnegative entries. We study harmonic functions of this Markov chain. Considering a polar decomposition $M_n = X_n \exp(S_n)$, where $X_n$ is a vector of unit length, and $S_n$ a real valued random variable, it is in particular shown that all "compound" harmonic functions $L(x,s)=f(x)g(s)$ are constant. The idea of the proof is originally due to Kesten [Renewal theory for functionals of a Markov chain with general state space, Ann. Prob. 2 (1974), 355 - 386], but is considerably shortened here. A similar result for invertible matrices is given as well.

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