Compositions of Random M Bius Transformations

Stochastic Analysis and Applications
ISSN: 0736-2994 (Print) 1532-9356 (Online) Journal homepage: http://www.tandfonline.com/loi/lsaa20
Compositions of Random Mbius Transformations
Satyajit Karmakar & Eric S. Key
To cite this article: Satyajit Karmakar & Eric S. Key (2004) Compositions of Random Mbius
Transformations, Stochastic Analysis and Applications, 22:3, 525-557, DOI: 10.1081/
SAP-120030445
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STOCHASTIC ANALYSIS AND APPLICATIONS
Vol. 22, No. 3, pp. 525557, 2004
Compositions of Random Mbius Transformations
Satyajit Karmakar1* and Eric S. Key2
1
Department of Mathematics and Natural Sciences,
Gordon College, Barnesville, Georgia, USA
2
Department of Mathematical Sciences, University of
Wisconsin, Milwaukee, Wisconsin, USA
ABSTRACT
Let Xn n=1 be a sequence of i.i.d. random variables taking values

in the set of all Mbius transformations. Consider the sequence
Sn z
n=0 dened by Sn z = Xn X1 z where z belongs to
the extended complex plane. Necessary and sufcient conditions for
a.s. convergence of Sn z
n=0 will be discussed. As an application
we will see how a sequence of the form Sn z n=0 may be used
to generalize a mathematical model of phyllotaxis. Some results
concerning the convergence in distribution of Sn z n=0 will also be
discussed.
Key Words: RandomMbius transformations; Phyllotaxis; Cut-grow

model.
Correspondence: Satyajit Karmakar, Department of Mathematics and Natural

Sciences, Gordon College, 419 College Drive, Barnesville, GA 30204, USA;
Fax: (770) 358-5850; E-mail: s_karmakar@gdn.edu.
525
DOI: 10.1081/SAP-120030445 0736-2994 (Print); 1532-9356 (Online)

Copyright 2004 by Marcel Dekker, Inc. www.dekker.com
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526 Karmakar and Key
1. INTRODUCTION
In Ref.2 , a model of phylotaxis, called the cut-grow model, was

studied via an analysis of the behavior of shapes of a sequence of
triangles, where each triangle represented a primordium. The cut-grow
model is completely determined by two parameters, and one of Goodalls
objectives was to see for which sets of parameters does the sequence of
shapes converge to a limiting shape. When convergence occurs it is said
that the sequence of shapes is regulated. He then raised the question of
whether regulation would occur if the parameters of the cut-grow model
where allowed to vary randomly with time. We shall show below that in
the random case regulation cannot occur.
A related question is that of drawing triangles inside of triangles, a
problem studied in Mannion7,8 . The idea here is given a triangle, one
chooses (according to some rule, deterministic, random, or whatever)
three points inside of the triangle to be the vertices of a new triangle.
This process is then repeated and one studies some of the characteristics
of the resulting triangle.
We will study the evolution of the shapes of a sequence of triangles
produced by a larger class of transformations which includes the
cut-grow model and the triangles inside triangles problem. We will view
the plane as the set of complex numbers, and a set of three non-collinear
points as a triangle. A line segment will represent a degenerate triangle,
that is, a triangle whose vertices are co-linear. In the cut-grow model the
order of the vertices plays an important role, so any ordered triple of
complex numbers where at least two of the elements are different will be
called a oriented triangle, which we shall abbreviate as o-triangle.
In what follows, lower case Greek letters will represent elements of
C 3 , which we think of as column vectors. Lower case Roman letters will
represent complex numbers. Hence we might write

a1
= a2
a3
1 will denote the vector whose elements are each equal to 1, and is the
set of all (complex) multiples of 1.
Following Refs. , Mannion7,8 , and others, we dene the shape of
2,4
the o-triangle a1 a2 a3 t , denoted by , by

a3 a1 a2 a1 1 if a1 = a2
= (1)
if a1 = a2
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Random Mbius Transformations 527
Note that the shape of an o-triangle is a real number if and only if the
o-triangle is degenerate. Thus we regard as a map from C 3 to the
one point compactication of C, which we shall denote by C .
Since the order of vertices matter, two o-triangles that are similar
may not have the same shape. However, if two o-triangles have the same
shape they are indeed similar:
Proposition 1.1. If a = 0 and b are complex numbers then

= a + b1 (2)
In other words, shape is invariant under rotation, dilation and translation of

the o-triangle.
The orientation of a triangle is important in the cut-grow model

because growth of the next primordium can occur only along one
predetermined edge of the current primordium. Specically, if
a1 a2 a3 t represents the current primordium, then a point b on the
edge a1 a3 is selected, the line segment a2 b is extended by a factor
of v in the direction of b giving a new edge a2 c and the points a1 , a2
and c are the vertices of the new triangle. However, in order to take into
account where the next new edge is to be drawn, the new o-triangle is
a2 c a1 t . See Fig. 1.
Goodall noted that if u 0 1 is chosen so that b = 1 ua1
+ ua3 then c = a2 + vb a2 and the new o-triangle is obtained by
multiplying the old o-triangle by the matrix G given by

0 1 0
G v1 u 1 v uv
(3)
1 0 0
The triangle in triangle problem can also be described by matrix

multiplication. Given that the original o-triangle is , the new o-triangle
Figure 1. The new o-triangle.

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is given by H where H is required to be a stochastic matrix. The

particular rules governing how the stochastic matrix H is to be chosen
for each iteration are determined by how the points were to be selected
inside the existing o-triangle.
2. ANALYSIS VIA FRACTIONAL

LINEAR TRANSFORMATIONS
We believe that the sequence of shapes in these cases can

be described more easily by compositions of fractional linear
transformations. What the cut-grow map and the triangles in triangles
problems have in common is that an existing o-triangle is transformed
into a new o-triangle by representing the existing o-triangle as an
element of C 3 and multiplying by a 3 3 matrix. Not any
matrix will do however. In both examples we always have 1 1 1t as
an eigenvector of the given matrix, and in the cut grow model, G is
invertible, guaranteeing that no o-triangle, degenerate or not, is ever
mapped onto a single point. We shall show here how to investigate the
behavior of sequences of shapes of o-triangles when the sequence of
o-triangles evolves according to the composition of linear mappings of
T C 3 C 3 with the following properties:
= a1
T1 (4)
C 3 T =
(5)
For such T , if is a o-triangle, then so is T. Since to each complex

number we may associate a o-triangle, and each o-triangle has a shape,
we may associate to T a transformation LT C C according to the
rule:

T0 1 zt if z =
LT z = (6)
T0 0 1t if z =
From (5) we see that LT is well-dened. Moreover, we see that there are
complex numbers a, b, c, and d with ad bc = 0 and
az + b
LT z =
cz + d
in other words, LT is a fractional linear transformation. For example, in
the case of cut-grow model, if G is given by (3) then
1
LG z =
uvz v
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The following theorem gives an important link between how shapes

evolve and the composition of these fractional linear transformations:
Theorem 2.1. Suppose that T and U satisfy (4) and (5). Then
LT U = LT LU
Proof. Let = a1 a2 a3 t . We consider the case where = .

The other case is similar.

1
T = T ta1 1 by Proposition 1
1
a2 a1

1

= T a1 1 since T 1 = t1
a2 a1
= T0 1 t
= LT
The theorem now follows by putting = U0 1 zt if z = and

= U0 0 1t if z = .
Hence, given any sequence of linear transformations Tn n =

1 2

satisfying (5), and any initial o-triangle with shape z , we
can study the evolution of the shapes of the sequences of o-triangles n
given by
0 =
n = Tn n1
by analyzing the sequence sn given by
s0 = z
sn = LTn sn1
3. A CASE WHERE THE LIMITING SHAPE EXISTS
In cases like Ref.2 where Tn is a constant sequence, say Tn = T for

all n, the limit behavior of the sequence of shapes is determined by the
attractive properties of the xed points of LT . The xed point behavior
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of fractional linear transformations is well understood. See Ref.3 for

details for the following.
Suppose that we have a xed T in mind and that LT has two nite
and distinct xed points, say z1 and z2 . Then
w z1 1 z z1
=
w z2 LT z2 z z2
where w LT z. LT is determined by the three parameters H

1/L T z2 , z1 and z2 . To emphasize this, we write LH z1 z2 for LT .
In the case of the cut-grow model the xed points are

v v2 4vu
z1 =
2uv

v + v2 4vu
z2 =
2uv
which are distinct so long as v = 4u.

Fix z1 = z2 and consider the set GLz1 z2 = LH z1 z2 H = 0.
It is easy to check that Lu z1 z2 Lv z1 z2 = Luv z1 z2 . From this
and Theorem 2.1 it follows that the shape sn satises
sn = LH n z1 z2 s0
which converges to z2 if H > 1 and converges to z1 if H < 1. In the

cut-grow model, ifv > 4u then z1 and z2 are both real, H < 1 and sn
converges to v + v2 4u/2uv.
On the other hand, if H = 1 then sn is conned to the circle

z z1

s0 z1

=

(7)

z z

s z

2 0 2
This is the case in the cut-grow model when v < 4u. In particular, if
H = exp2 ix for some real number x, then the sequence of shapes will
be periodic if x is rational and dense in the circle (7) if x is irrational. In
the cut grow model, if v < 4u then H = 1.
The other important possibility is that LT has a double xed point
at some nite point z0 . Then, with w LT z we have
1 1
= +a
w z0 z z0
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for some xed complex number a = 0. Writing La z0 for LT we have

sn = Lna z0 s0
For a = 0, the shapes, sn , lie on the circle passing through s0 and z0

whose tangent line at z0 has direction argz0 . In the case of the
cut-grow model z0 = 1/2u and a = 2u.
In fact, the preceding analysis shows that the critical assumption is
not that there is a single linear transformation T but rather that the pairs
of xed points of the associated fractional linear transformations LTn are
always the same. In the cut-grow model, it is easy to check that the xed
points of LT determine the parameters u and v, so that if the xed points
are given the sequence Tn must be constant.
4. COMPOSITION OF RANDOM FRACTIONAL

LINEAR TRANSFORMATIONS
One way to let o-triangle shapes evolve randomly is to choose a

sequence of linear transformations of C 3 at random. Since we have seen
that we can associate to each suitable linear transformation a fractional
linear transformation, we might at well choose a sequence of fractional
linear transformations at random. The mathematical set-up is to let
(, , P) be a probability space. and consider the set

az + b
= a b c d ad bc = 1
cz + d
of all fractional linear transformations from to . Now let Xn n=1
be a sequence of independent and identically distributed (i.i.d.) -valued
random variables. Thus Xn , where z Xn z.
When is xed we will frequently write Xn z for Xn z. Finally,
dene a random walk Sn z
n=0 on as follows: Fix z , and let
S0 z = z
Sn+1 z = Xn+1 Sn z
= Xn+1 Xn X1 z
The random walk is the random sequence of shapes.

Note that we have used the following convention
X1 z X1 z
X2 X1 z X2 X1 z
and so on, where .
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What can we say about Sn z

n=0 ? It is easy to see the following
01 law always holds.
Proposition 4.1. Plimn Sn z exists = 0 or 1.
Proof. The event limn Sn z exists is a tail event, so the proposition
follows from the Kolmogorov 01 law.
Almost as easy is to give conditions under which the sequence of

shapes is still convergent, albeit only with probability one.
Denition. We say that is an almost sure (a.s.) xed point of an

-valued random variable X if PX = = 1.
First let us investigate the necessary conditions for almost sure
convergence of the sequence Sn z
n=0 .
Lemma 4.2. Suppose that is a -valued random variable. If

Prlimn Sn z = = 1 and if L is such that PX1 = L > 0 then
PrL = = 1.
Proof. Dene n0 = 0 and
nk = infn n > nk1 and Xn = L
By the BorelCantelli lemma it is clear that
PrXn = L innitely often = 1
Therefore nk as k . Now consider Snk z

k=0 . From the
denition of nk
k=0 we can write
LSnk 1 z = Snk

(8)
Since

Pr lim Snk z = = 1
k

Pr lim Snk 1 z = = 1
k
PrL = = 1
as claimed.
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Theorem 4.3. Let Lj

j=1 be a sequence in such that

PX1 = Lj = 1
j=1
Then a necessary condition that Sn z a.s. is that is a xed point

of each Lj j = 1 2

for which PX1 = Lj > 0. If is almost surely
constant then is an a.s. xed point of each Xn n = 1 2

. Also the set
there exists z such that Sn z a

s
has at most two elements unless each Lj is the identity transformation.
Remark. If the process Xn n=1 is a recurrent Markov chain with

countable state space Lj
j=1 then the conclusion of Theorem 4.3 holds.
5. COMMON FIXED POINTS
As we have noted above, the most interesting cases of triangle

evolution occur when the xed points of the fractional linear
transformations have non-zero imaginary parts. If the coefcients of
these fractional linear transformations are real, as is the case in the
cut-grow model and the triangle in triangle problem, then either there
is a repeated xed point or the xed points are complex conjugates. In
either case, the xed points are determined by knowing just one xed
point.
It also is evident from the preceding sections that the cut-grow model
will not have any almost-sure xed points. The same is not true for the
triangle in triangle problem, where there can be almost sure xed points.
Since the most common and interesting case is two distinct xed points
in common, we shall consider this case rst. We will then take up the
case of one common xed point.
5.1. Two Common Fixed Points
Denition. A xed point of a fractional linear transformation L is said

to be attracting if L < 1 and is said to be repelling if L > 1.
Now let us recall that the fact that every fractional linear
transformation can have at most two xed points unless it is the
identity map. So in view of our necessary condition (Theorem 4.3) of
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a.s. convergence of Sn zn=0 we are going to consider the sequences

of random fractional linear transformations with both xed points in
common and would seek sufcient conditions for a.s. convergence of
such sequences. More precisely consider the following:
Fix z1 and z2 in with z1 = z2 . Let z1 z2 be the set of all
fractional linear transformations with z1 and z2 as their xed points.
Recall that any L in z1 z2 is given by
Lz z1 z z1
=H
Lz z2 z z2
where H and H = 0. Therefore
z1 Hz2 z + z1 z2 H 1
Lz =
(9)
1 Hz + Hz1 z2
It is easy to check that L z1 = H and L z2 = H 1 .
Let Xn n=1 be a sequence of z1 z2 valued random variables.
As mentioned above that we are interested in a.s. convergence of the
sequence Sn zn=0 . For convenience we state the following easily proven
lemma.
Lemma 5.1. Let Hn n=1 be an i.i.d. sequence of \0-valued random

variables and let PH1 = 1 < 1. Then

(1) limn nk=1 Hk = a
s
if Elog H1 0 ,

(2) limn nk=1 Hk = 0 a
s
if Elog H1 0,

(3) limn nk=1 H k does not exist a
s
if Elog H1 = 0. In fact,
in this case nk=1 Hk
n=1 is a recurrent random walk on the
multiplicative group of positive real numbers.
Theorem 5.2. Let Xn n=1 be i.i.d. z1 z2 -valued random variables. Let

Hn = Xn z1 and assumen that PH 1 = 1 < 1. Then Sn zn=0 is the image

of the random walk k=1 Hk n=1 in the multiplicative group of under
the fractional linear transformation X given by
z z zz + z1 z z1 z2
Xz = 2 1
(10)
z1 zz + z z2
In particular, if z z1 z2 then
lim Sn z lim Xn Xn1 X2 X1 z

n n

z2 if Elog H1 0
=
z1 if Elog H1 0
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and
lim Sn z does not exist a

s
if Elog H1 = 0
n
Proof. First note that Xn

n=1 is i.i.d. implies that Hn n=1 is i.i.d. Also
by (9) we can write that
z1 Hn z2 z + z1 z2 Hn 1
Xn =
1 Hn z + Hn z1 z2
z2 z1 zHn + z1 z z1 z2
=
z1 zHn + z z2
n
XH
is given by
where PH1 = 0 = 1 and X
z z zz + z1 z z1 z2
Xz = 2 1
(11)
z1 zz + z z2
Now it is easy to see that

z2 z1 z nk=1 Hk + z1 z z2
Sn z =
z1 z nk=1 Hk + z z2
n

X Hk
k=1
Therefore by Lemma 5.1 we can write that

X = z2 if Elog H1 0
lim Sn z =
n
X0 = z1 if Elog H1 0
Recall that PH1 = 0 = 1. If Elog H1 = 0 then again by Lemma 5.1

we see that limn nk=1 Hk does not exist a.s. Therefore limn Sn z
is one-one, onto and continuous.
does not exist a.s. since X
Example 1. Let
0
2 + 0
8iz 1 1
4i
L1 z =
0
5 0
7iz 1
2 2
2i
0
7 + 0
9iz 0
4 1
8i
L2 z =
0
2 0
9iz 1
1 2
7i
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Figure 2. Convergence to the one of the a.s. xed points 1 i of X1 .
and let X1 be a random variable such that PX1 = L1 = PX1 = L2 =

1/2. The xed points of L1 and L2 are 1 i. It is easy to show that

PH1 = 0
5 + 0
7i = PH1 = 0
8 + 0
9i = 1/2 where H1 = X1 1 + i and
therefore Elog H1 > 0. We calculated Sn from n = 1 to n = 2000 and
Fig. 2 shows the plot of the last 1800 points. Notice that these points
appear to converge to the complex number 1 i as expected.
Theorem 5.2 may be applied to the random version of the
triangle in triangle problem. Recall that in the triangle in triangle
problem, a new o-triangle is produced by multiplying a given
o-triangle by a stochastic matrix M. We may write

1 m12 m13 m12 m13
M = 1 m22 m23 m22 m23
1 m32 m33 m32 m33
where 0 mij 1 for all 2 i 3 and 1 j 3.

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Now, suppose we are given a fractional linear transformation in the

form
a1 z + a2
Lz =
a3 z + a4
where 1 aj 1 for 1 j 4. If the relations
a1 = m32 m12
a2 = m33 m13
a3 = m22 m12
a4 = m23 m13
are satised, then L = LM . If we regard the aj as given, it is always

possible to solve for the mij subject to the restriction that M be
stochastic.
On the other hand, if z1 = z2 are complex conjugates and H = 1 has
modulus 1 then it follows from (9) that
z1 Hz2 /1 Hz z1 z2

Lz =
z + Hz1 z2 /1 H
has all real cofcients. These coefcients can all be normalized to have
values in 1 1 so there is no shortage of examples of the random
version of the triangle in triangle problem to which Theorem 5.2 applies.
However, the result will always be one in which a limiting shape does not
exist. Instead, the random sequence of shapes, Sn , will take it values in
the circle given by the image of the unit circle under the transformation
given by (10).
Example 2. Suppose that a new o-triangle is formed from the old one
by either multiplying by the stochastic matrix

1/3 1/6 1/2
M1 = 2/3 1/3 0
5/6 0 1/6
or the stochastic matrix

2/3 0 1/3
M2 = 1/3 1/6 1/2
1/2 1/2 0
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where each matrix is chosen with probability 1/2. The corresponding

fractional linear transformations are
z 2
L1 z =
z3
3z 2
L2 z =
z+1
The common xed points are 1 i and the corresponding values of H
are 3 4i/5. Since the modulus of H is always 1, the random walk of
shapes, Sn , is the image of a random walk on the unit circle under the
map given in (10) with z1 = 1 + i and z2 = 1 i.
We turn now to the case of a double xed point. Fix z0 and let
z0 be the set of all fractional linear transformations with z0 as their
common double xed point.
Recall that any L z0 is given by
1 1
= +a
Lz z0 z z0
for some a . Therefore
az0 + 1z az20
Lz =
(12)
az + 1 az0
It is easy to show that L z0 = 2a.

Now we can prove the following theorem.
Theorem 5.3. Let Xn n=1 be i.i.d. z0 -valued random variables. Let

rn = 1/2Xn z0 and assume
n that Pr1 = 0 < 1. Then Sn zn=0 is the
image of the random walk k=1 ak n=1 in the additive group of the complex
numbers under the fractional linear transformation X given by
z z z0 z + z
Xz = 0
(13)
z z0 z + 1
In particular, if Er1 \0 then
lim Sn z lim Xn Xn1 X2 X1 z

n n
= z0
and if z = z0 and Er1 = 0 then
lim Sn z does not exist a

s
n
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In addition if Er1 2 < then Sn zn=1 is the image of the recurrent

random walk nk=1 ak n=1 under the fractional linear transformation X.
Proof. First note that Xn

n=1 is i.i.d. implies that an n=1 is i.i.d. Also
by (12) we can write that
an z0 + 1z an z20

Xn =
an z + 1 an z0
z0 z z0 an + z
= Xan
z z0 an + 1
is given by
where X
z z z0 z + z
Xz = 0
(14)
z z0 z + 1
It is easy to show that

z0 z z0 nk=1 ak + z
Sn z =
z z0 nk=1 ak + 1
Now by the Strong Law of Large Numbers

n
lim ak = if Er1 \0
n
k=1
Therefore

lim Sn z = X if Er1 \0
n
= z0
Also if Er1 = 0 then the results follow from the standard results for
random walks. This proves the theorem.
Now we will give some numerical examples.
Example 3. (a) Let
0
95 + 0
05iz + 0
1
L1 z =
0
05iz + 1
05 0
05i
1
05 0
05iz 0
01
L2 z =
0
05iz + 0
95 + 0
05i
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Figure 3. The points do not converge (double xed point at 1 + i and

Er1 = 0).

1/2. It is easy to check that 1 + i is the double xed point of both L1
and L2 . It can also be shown that Pr1 = 0
05i = Pr1 = 0
05i = 1/2

where r1 = 1/2X1 1 + i and therefore Er1 = 0. We calculated S1 to
S15000 and Fig. 3 shows the plot of all these points and we see that these
points do not converge as expected in Theorem 5.3.
(b) Let
0
96 + 0
04iz + 0
08
L1 z =
0
04iz + 1
04 0
04i
1
05 0
05iz 0
01
L2 z =
0
05iz + 0
95 + 0
05i

1/2. 1 + i is the double xed point of both L1 and L2 . It can
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Figure 4. The points converge to 1 + i (double xed point at 1 + i and Er1 = 0).
also be shown that Pr1 = 0

04i = Pr1 = 0
05i = 1/2 where r1 =

1/2X1 1 + i and therefore Er1 = 0. We calculated S1 to S15000
and Fig. 4 shows the plot of all these points and we see that these
points appear to converge to the xed point 1 + i as expected in
Theorem 5.3.
5.2. One Common Fixed Point
So suppose now that there is an almost sure xed point which is

not a double xed point. Under what conditions will the sequence of
shapes converge to this almost sure xed point? We have the following
theorems:
Theorem 5.4. Let

an z + bn
Xn z = n = 1 2

an 1
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where and z . Suppose that
Elog a1 0

Elog+ b1 0
Then the series

k
A a2
j ak bk
k=1 j=1
converges almost surely and

Pr lim Sn z = A = z = 1
n
Theorem 5.5. Let

an z + bn
Xn z = n = 1 2

cn z + dn
where an dn bn cn = 1 and z . Assume that a is an a.s.
xed point of X1 and
Elog+ c1 0 (15)

Elog a1 c1 a 0
(16)
Then

A a1 c1 a2 ak1 ck1 2 ak ck ack
k=1
converges almost surely and

Pr lim Sn = a A = 1/z a = 1
n
Remarks.
(1) It is easy to see that if L is in then

1
L a =
ca + d2
Thus the condition Eloga1 c1 a < 0 in Theorem 5.5 says
that on average a is an attracting xed point of each Xn ,
n = 1 2

.
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(2) In the triangles in triangles problem A is always real valued and

the only interesting values of z and a such that the events on
which we condition are all of .
(3) If

P a1 c1 a2 a2 c2 a2 ak1 ck1 2 ak ck ack
k=1

1
= >0
za
then one of the following three things will happen.
(a) Sn does not converge.

(b) Sn z converges to a anyway,
(c) Sn z converges to where = a. If the common
distribution of the Xn s is discrete then is an a.s. xed
point of Xn
n=1 . By Theorem 4.3 there is at most one such
. We will consider the case of two almost sure xed points
below.
(4) The assumption Eloga1 c1 a < 0 in Theorem 5.4 can be

replaced by Elogc1 a + d1 > 0 since we know that
1
a1 c 1 a =
c1 a + d 1
Example 4. Let
7
8+16
4iz19
2+86i
L1 z =
2+3iz6
2+16
4i
6
471698114
84905660iz35
6075471722
77358491i
L2 z =
1iz5
54
9

1/2. The xed points of L1 are 4
723076923077 + 0
8153846153846i and
5 + i and the xed points of L2 are 5
860377358491 + 0
111320754717i
and 5 + i. Thus the a.s. xed point of X1 is 5 + i. We calculated Sn from
n = 1 to n = 500 and Fig. 5 shows the plot of the last 300 points. Note
that these points appear to converge to the a.s. xed point 5 + i of X1 as
expected. This is an illustration of Theorem 5.5.
ORDER REPRINTS
Figure 5. Convergence to the a.s. xed point 5 + i of X1 .
Proof of Theorems 5.4 and 5.5. Theorems 5.4 and 5.5 each follow from
the special case of Theorem 5.5 obtained by assuming that bn 0 and
dn = 1/an . In this case we have
an z
Xn z = n = 1 2

(17)
cn z + an 1
where and z . Again note that the sequence an cn n=1 is
i.i.d., but for any xed n, an and cn are not necessarily independent.
It is well known that and SL2 are isomorphic, with Xn
corresponding to the lower triangular matrix Mn Mn given by

an 0
Mn = n = 1 2

(18)
cn an1
Now we can write that Xn z = QMn z where

z
z = (19)
1
ORDER REPRINTS
dened by
and Q 2 \0

z z /z if z2 = 0
Q 1 = 1 2 (20)
z2 otherwise
It is easy to show that

a 0
Mn Mn1 M2 M1 = n
n n
where

n
an = aj
j=1
n1 n2 n3
j=1 aj j=1 aj
n = aj cn + cn1 + cn2
i=1
an an an1
aa a 1
+ + 42 1 c3 + 3 1 c2 + 2 c1
j=n aj j=n aj j=n aj
n 1

n = aj
j=1
So
Sn z = Xn Xn1 X2 X1 z

1
=Q Mj z
j=n
an z
=
(21)
n z + n
From (21) we see that

n
a2j z
Sn z = n
j=1

k=1 a21 a22

a2k1 ak ck z + 1
To study the convergence of this quotient, we need to look at the series

a21 a22 a2k1 ak ck
k=1
ORDER REPRINTS
To apply the root test for each in we consider
1
log a21 a22

a2k1 ak ck
k

1 k
k1
= log aj + log aj + log ck
k j=1 j=1

1 k
k1
1 k1 1
= log aj + log aj + log ck
k j=1 k k 1 j=1 k
The following are true (almost surely) by the Strong Law of Large
Numbers:
1
lim sup log ck 0 a
s
since Elog+ c1 0
k k
1 k
log aj E log a1 a
s
as k since Elog a1 Re
k j=1
Therefore

a21 a22 a2k1 ak ck
k=1
converges a.s. to a random variable. Also notice that the assumption

Elog a1 < 0 implies that

n
aj 0 a
s
as n
j=1
This gives the special case of Theorem 5.5. To get the general case, let
a be an a.s. xed point of each Xn n = 1 2

so we can write that
an a + bn
= a a
s
n = 1 2

cn a + d n
Let a . Dene the shift Ta by
Ta z = z a
ORDER REPRINTS
Now we can write that
Sn z = Xn Xn1 X1 z

= T Ta Xn Ta Ta Xn1 Ta Ta X2 Ta
Ta X1 Ta Ta z
= Ta Wn Ta z
where
Wn z = Ta Xn Ta Ta Xn1 Ta Ta X2 Ta Ta X1 Ta z
Using the fact that

an a + bn
=a
cn a + d n
it is to see that
an cn az
Ta Xn Ta z = n = 1 2

cn z + cn a + dn
These fractional linear transformations have 0 as their xed point, so the
special case applies.
To prove Theorem 5.4 replace Ta z by Rz = 1/z.
6. CONVERGENCE IN DISTRIBUTION
In Secs. 4 and 5, we have proved several results concerning the a.s.

behavior of the sequence Sn z
n=0 given by
Sn z = Xn Xn1 X2 X1 z (22)
where Xn n=1 is an i.i.d. sequence -valued random variables. Now we

would like to know what happens if the sufcient conditions needed for
a.s. convergence of Sn z n=0 in Theorem 5.5 are not satised. What we
nd is that under hypotheses complementary to those of Theorem 5.5 a.s.
convergence does not occur but we do get convergence in distribution.
To see this we need to look at the sequence Vn z n=0 dened by
V0 z z (23)
Vn+1 z X1 Vn z (24)
X1 X2 Xn Xn+1 z (25)
ORDER REPRINTS
where z . Note that since Xn s are i.i.d. Sn and Vn have the same
distribution for each n = 1 2

. The following discussion will be
useful.
Let E be a locally compact space with countable basis and Borel
-eld . Denote by C = CE the set of all continuous functions
f E E (not necessarily injective or bijective), equipped with the
smallest -eld such that, for any x E, f fx is a measurable
map from C to E . The following result is on p. 4 of Letac6 .
Proposition 6.1. Let Xn

n=1 be i.i.d. in C = CE with distribution , and
consider for n 0 and x E the following:
Sn x = Xn Xn1 X2 X1 x

Vn x = X1 X2 Xn1 Xn x
Assume that V = limn Vn x exists and does not depend on x a.s. then
the law of V is the stationary distribution of the Markov Chain Sn z
n=0
and this chain has only one stationary distribution.
Our aim now is to apply Proposition 6.1 with E to show when

the stationary distribution of Sn z
n=0 exists. Thus we need to nd
sufcient conditions for a.s. convergence of Vn z
n=0 to a limit which
does not depend on z. Our approach is going to be very similar to what
we have done in Sec. 4. It is convenient to discuss the following cases.
6.1. Is an a.s. Fixed Point of Xn

n=1
In this case we have
an z + bn
Xn z = n = 1 2

(26)
an 1
where and z . As before one should note that the sequence

an bn
n=1 is i.i.d., but for any xed n an and bn are not necessarily
independent. Now an easy computation yields
Vn z = X1 X2 Xn1 Xn z

n
k1
n
= B1 + Aj Bk + Ak z n = 1 2

(27)
k=2 j=1 k=1
ORDER REPRINTS
where An = a2n and Bn = an bn for each n = 1 2

. We would like to
nd some conditions under which the random sum

k1
Aj Bk (28)
k=2 j=1
converges a.s. As in the proof of Theorem 5.5 let us apply the root test
to (28). Notice that

k1

1 k1

1

1
log
Aj Bk
= log Aj + log Bk
k
j=1
k j=1 k
Thus if we assume that
Elog A1 0 and Elog+ B1 0
then the sum in (28) converges a.s. These conditions are equivalent to
Elog a1 0 and Elog+ b1 0
We have the following theorem.
Theorem 6.2. Let
an z + bn
Xn z = n = 1 2

an 1
where and z . Also assume that
Elog a1 0 and (29)

+
Elog b1 0
(30)
Then there exists a -valued random variable V such that Vn z V a.s.
which does not depend on z as n .
Proof. Let Aj = a2j and Bj = aj bj j = 1 2

. By (29) and (30) we see
that the series

k1
Aj Bk
k=2 j=1
ORDER REPRINTS
converges a.s. to a random variable. Also (29) implies that the product

n
Ak
k=1
converges to 0 a.s. Therefore it follows from (27) that Vn z converges

a.s. to a random variable which does not depend on z as n . This
proves the theorem.
Now we can give the following result.
Theorem 6.3. Let

an z + bn
Xn z = n = 1 2

an 1
where and z . For n 1 let

Assume that
Elog a1 0 and Elog+ b1 0
Then V limn Vn z exists a.s. and does not depend on z and the law
of V is the stationary distribution of the Markov Chain Sn z
n=1 and this
chain has only one stationary distribution.
Proof. The proof follows from Proposition 6.1 and Theorem 6.2.
6.2. a Is an a.s. Fixed Point of Xn

n=1
Let a be an a.s. xed point of each Xn n = 1 2

. In this case
we write
an z + bn
Xn z = n = 1 2

cn z + dn
where z and an dn bn cn = 1 and
an a + bn
= a a
s
n = 1 2

(31)
cn a + d n
ORDER REPRINTS
Our aim right now is to express Vn z in such a way that we can use
Theorem 6.2 to obtain a sufcient condition for a.s. convergence of the
sequence Vn z
n=0 . In fact by shifting the xed point a to we can
achieve this goal.
Let a . Dene the transformation Ta by
1
Ta z =
za
Now we can write that

= Ta1 Ta X1 Ta1 Ta X2 Ta1 Ta Xn1 Ta1
Ta Xn Ta1 Ta z
= Ta1 Wn Ta z
where
Wn z = Ta X1 Ta1 Ta X2 Ta1 Ta Xn1 Ta1 Ta Xn Ta1 z
Now using (31) we have
1
an cn a = a
s
n = 1 2

(32)
cn a + d n
Together (31) and (32) give
an cn a1 z + cn
Ta Xn Ta1 z = a
s
n = 1 2

an cn a
So the results of the previous section can be used and we have the
following theorem.
Theorem 6.4. Let

an z + bn
Xn z = n = 1 2

cn z + dn
where an dn bn cn = 1 and z \a. For n 1 let

ORDER REPRINTS
Assume that a is an a.s. xed point of X1 and
Elog a1 c1 a 0

Elog+ c1 0
Then V limn Vn z exists a.s. and does not depend on z. Furthermore,
the law of V is the stationary distribution of the Markov Chain Sn z
n=1
and this chain has only one stationary distribution.
Proof. The proof follows from Proposition 6.1.
Example 5. Let aj bj cj dj j = 1 2 be independent standard random

variables and consider
a = a1 + ia2
b = b1 + ib2
c = c1 + ic2
d = d1 + id2
With the standard identication of 2 and , we may regard a b c d

as bivariate normal random variables N0 I with mean vector 0 the
covariance matrix I, the identity matrix. It is easy to show that
z2 + 1I
az + b N0 (33)
z2 + 1I
cz + d N0 (34)
where z . Since L = a/c it follows from (33) and (34) that
az + b
Lz =
cz + d
does not depend on z even for z . Hence the stationary distribution

of the sequence Sn zn=0 is the distribution of a/c.
It is straightforward to nd the distribution of a/c. Let us write a =
Ra eia where Ra 0 and a . Then it is easy to show that
Ra and a are independent with densities fRa and fa given by
2
fRa x = xe1/2x x0 (35)
ORDER REPRINTS
and
1
fa x = <x (36)
2
respectively. Similarly we can write c = Rc eic . Now write
a
= Rei
c
where R = Ra /Rc and = a c mod 2 . R and are independent

and it is easy to show that their densities fR and f are given by

2x
if x > 0
fR x = 1 + x2 2

0 otherwise and

1 if 0 x 2
f x = 2

0 otherwise
Now we are going to use some results of Letac (1986) to study the
generalization of the cut-grow model studied by Goodall. Let us dene
the set R by

az + b
R = a b c d Re and ad bc = 1
(37)
cz + d
Any element of R maps the upper half-plane onto the upper half-
plane and leaves the real line invariant. Now to each L R assign a
M SL2 given by

a b
M=
c d
Let
= z = x + iy x y > 0 and

= z = x + iy x y = 0
The following result is Proposition 7.1 in Chapter 2 of Ref.1 .

ORDER REPRINTS
Proposition 6.5. Let Ln

n=1 be a sequence of fractional linear
transformations in R and let the corresponding sequence of matrices
Mn
n=1 be bounded. If
1
lim inf log M1 M2 Mn1 Mn > 0 (38)
n n
then there exists a x such that
Vn z x as n for all z
Remark. Notice that we have not specied any norm in (38). For our
convenience we will dene the norm of a 2 2 real matrix M by

M = traceMM T
where M T denotes the transpose of M.
Theorem 6.6. Let Xn n=1 be a stationary, ergodic, and time reversible
sequence of R -valued random variables and let the corresponding sequence
of matrices Mn
n=1 be bounded a.s. If
1
lim Elog Mn Mn1 M2 M1 > 0 (39)
n n
then there exists a -valued random variable V such that for all z the
sequence Vn z V a.s. which does not depend on z as n .
Proof. By Kingmans subadditive ergodic theorem we know that

exists and
1
lim log Mn Mn1 M2 M1 = a
s
(40)
n n
By Theorem 1 of Ref.5 , we have
1 1
lim log MnT Mn1
T

M2T M1T = lim log Mn Mn1 M2 M1 a
s
n n n n
(41)
We know that for all n, and for all , by our choice of .
MnT Mn1
T
M2T M1T = M1 M2 Mn1 Mn
(42)
ORDER REPRINTS
Combining (39), (40), (41) and (42) we have
1
lim log M1 M2 Mn1 Mn > 0 a
s
(43)
n n
Therefore by (43) and Proposition 6.5 it follows that there exists a

-valued random variable V such that for all z the sequence
Vn z converges a.s. to V independent of z as n . This proves the
theorem.
Remark. Equation (39) holds under rather weak conditions. See

Chapter 2 of Ref.1 .
Corollary 6.7. Let Xn n=1 be a stationary, ergodic, and time reversible
sequence of R -valued random variables and let the corresponding sequence
of matrices Mn
n=1 be bounded a.s. Suppose
1
lim Elog Mn Mn1 M2 M1 > 0
n n
Let V limn Vn z where z . Then the sequence Sn z converges in

distribution to the law of V as n .
Proof. By Theorem 6.6 we know that V is well dened and does not
depend on z. Since the distribution of Sn z is the same as the distribution
of Vn z for each n = 1 2

we conclude that Sn z converges in
distribution to the law of V as n for all z . This proves the
corollary.
Corollary 6.8. Let Xn

n=1 be an i.i.d. sequence of R -valued random
variables and let the corresponding sequence of matrices Mn n=1 be
bounded a.s. Suppose
1
lim Elog Mn Mn1

M2 M1 > 0
n n
Let V lim n Vn z where z . Then the law of V is the stationary

distribution of the Markov chain Sn z
n=0 and this chain has only one
stationary distribution.
Proof. By Theorem 6.6 we know that V is well dened and does not
depend on z. Therefore the corollary follows from Proposition 6.1.
ORDER REPRINTS
Now we can give the following generalization of the cut-grow model

stated at the end of Chapter 2 as a corollary of Theorem 6.6.
Corollary 6.9. Let n n

n=1 be an i.i.d. sequence of 0 1 1 -
valued random variables. Let Mn be the matrix dened by

0 n n
Mn =
1/ n n n /n
If there is a K > 0 such that

1 n
P n n + + <K =1
n n n
and
1
lim Elog Mn Mn1 M2 M1 > 0
n n
then for any non-degenerate initial o-triangle with shape z the sequence of
shapes Sn z converges in distribution to the law of V as n where V =
limn Vn z.
Proof. This is a special case of Corollary 6.8.
Notice that the generalization of the cut-grow model stated in

Corollary 6.9 says that regulation occurs in the sense of distribution
and we also have some information about the limiting distribution. It
should also be noted that we do not have any assumption about the a.s.
xed points of the fractional linear transformations corresponding to the
matrices Mn n = 1 n = 2

.
REFERENCES
1. Bougerol, P.; Lacroix, J. Product of Random Matrices with Applications

to Schrdinger Operators; Birkhuser Boston, Inc., 1985.
2. Goodall, C.R. Eigenshape analysis of a cut-grow mapping for
triangles, and its application to phyllotaxis in plants. SIAM J. Appl.
Math. 1991, 51, 775798.
3. Hille, E. Analytic Function Theory, 2nd Ed.; Chelsea Publishing
Company, 1976; Vol I.
ORDER REPRINTS
4. Kendall, D.G. Shape manifolds, procrustean metrics, and complex

projective spaces. Bull. London Math. Soc. 1984, 16, 81121.
5. Key, E.S. Lyapunov exponents for matrices with invariant subspaces.
The Annals of Probability 1988, 16, 17211728.
6. Letac, G. A contradiction principle for certain Markov chains and
its applications. In Random Matrices and Their Applications; Cohen,
J.E., Kesten, H., Newman, C.M., Eds.; Contemporary Mathematics,
Volume 50; American Mathematical Society: Providence, RI, 1986;
263273.
7. Mannion, D. Convergence to collinearity of a sequence of triangle
shapes. Adv. in App. Pro. 1990, 22(4), 831844.
8. Mannion, D. The invariant distribution of a sequence of random
collinear triangle shapes. Adv. App. Pro. 1990, 22(4), 845865.
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Compositions of Random M Bius Transformations

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Stochastic Analysis and Applications

ISSN: 0736-2994 (Print) 1532-9356 (Online) Journal homepage: http://www.tandfonline.com/loi/lsaa20

Compositions of Random Mbius Transformations

Satyajit Karmakar & Eric S. Key

To link to this article: http://dx.doi.org/10.1081/SAP-120030445

Published online: 15 Feb 2007.

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Compositions of Random Mbius Transformations

Satyajit Karmakar1* and Eric S. Key2

Let Xn n=1 be a sequence of i.i.d. random variables taking values

Key Words: RandomMbius transformations; Phyllotaxis; Cut-grow

Correspondence: Satyajit Karmakar, Department of Mathematics and Natural

DOI: 10.1081/SAP-120030445 0736-2994 (Print); 1532-9356 (Online)

526 Karmakar and Key

In Ref.2 , a model of phylotaxis, called the cut-grow model, was

the o-triangle  a1  a2  a3 t , denoted by , by

Random Mbius Transformations 527

Proposition 1.1. If a = 0 and b are complex numbers then

In other words, shape is invariant under rotation, dilation and translation of

The orientation of a triangle is important in the cut-grow model

The triangle in triangle problem can also be described by matrix

Figure 1. The new o-triangle.

528 Karmakar and Key

is given by H where H is required to be a stochastic matrix. The

2. ANALYSIS VIA FRACTIONAL

We believe that the sequence of shapes in these cases can

For such T , if  is a o-triangle, then so is T. Since to each complex

Random Mbius Transformations 529

The following theorem gives an important link between how shapes

Proof. Let  = a1  a2  a3 t . We consider the case where  = .

The theorem now follows by putting  = U0 1 zt if z = and

Hence, given any sequence of linear transformations Tn  n =

by analyzing the sequence sn given by

3. A CASE WHERE THE LIMITING SHAPE EXISTS

In cases like Ref.2 where Tn is a constant sequence, say Tn = T for

530 Karmakar and Key

of fractional linear transformations is well understood. See Ref.3 for

where w LT z. LT is determined by the three parameters H

which are distinct so long as v = 4u.

which converges to z2 if H > 1 and converges to z1 if H < 1. In the

Random Mbius Transformations 531

for some xed complex number a = 0. Writing La z0 for LT we have

For a = 0, the shapes, sn , lie on the circle passing through s0 and z0

4. COMPOSITION OF RANDOM FRACTIONAL

One way to let o-triangle shapes evolve randomly is to choose a

The random walk is the random sequence of shapes.

532 Karmakar and Key

What can we say about Sn z

Proposition 4.1. Plimn Sn z exists = 0 or 1.

Almost as easy is to give conditions under which the sequence of

Denition. We say that   is an almost sure (a.s.) xed point of an

Lemma 4.2. Suppose that  is a  -valued random variable. If

Proof. Dene n0 = 0 and

nk = infn n > nk1 and Xn = L

By the BorelCantelli lemma it is clear that

PrXn = L innitely often = 1

Therefore nk as k . Now consider Snk z

LSnk 1 z = Snk

Random Mbius Transformations 533

Theorem 4.3. Let Lj

Then a necessary condition that Sn z  a.s. is that  is a xed point

In Ref.2 , a model of phylotaxis, called the cut-grow model, was

the o-triangle a1 a2 a3 t , denoted by , by

Proposition 1.1. If a = 0 and b are complex numbers then

is given by H where H is required to be a stochastic matrix. The

For such T , if is a o-triangle, then so is T. Since to each complex

Proof. Let = a1 a2 a3 t . We consider the case where = .

The theorem now follows by putting = U0 1 zt if z = and

Hence, given any sequence of linear transformations Tn n =

In cases like Ref.2 where Tn is a constant sequence, say Tn = T for

of fractional linear transformations is well understood. See Ref.3 for

which are distinct so long as v = 4u.

for some xed complex number a = 0. Writing La z0 for LT we have

For a = 0, the shapes, sn , lie on the circle passing through s0 and z0

Proposition 4.1. Plimn Sn z exists = 0 or 1.

Denition. We say that is an almost sure (a.s.) xed point of an

Lemma 4.2. Suppose that is a -valued random variable. If

Then a necessary condition that Sn z a.s. is that is a xed point

there exists z such that Sn z a

Denition. A xed point of a fractional linear transformation L is said

Lemma 5.1. Let Hn n=1 be an i.i.d. sequence of \0-valued random

Recall that PH1 = 0 = 1. If Elog H1 = 0 then again by Lemma 5.1

and let X1 be a random variable such that PX1 = L1 = PX1 = L2 =

where 0 mij 1 for all 2 i 3 and 1 j 3.

are satised, then L = LM . If we regard the aj as given, it is always

In particular, if Er1 \0 then

and if z = z0 and Er1 = 0 then

In addition if Er1 2 < then Sn zn=1 is the image of the recurrent

and let X1 be a random variable such that PX1 = L1 = PX1 = L2 =

and let X1 be a random variable such that PX1 = L1 = PX1 = L2 =

also be shown that Pr1 = 0

where and z . Suppose that

Elog a1 0

Elog+ c1 0 (15)

(1) It is easy to see that if L is in then

(4) The assumption Eloga1 c1 a < 0 in Theorem 5.4 can be

and let X1 be a random variable such that PX1 = L1 = PX1 = L2 =