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Let $U_n$ have the uniform distribution on $[0,1]$ and let $E_n$ have an exponential distribution of rate $\lambda >0$, with all these inputs independent. The random affine recursion $X_n=U_n(X_{n-1}+E_n)$ has an invariant exponential law of the same rate. Indeed, for independent exponential $X,E$, beta-gamma independence says that $V=X/(X+E)$ is uniform and independent of $W=X+E$. Thus an independent uniform $U$ gives $UW$ the same law as $VW=X$.

For any deterministic real initial value $c$, couple the recursion to a stationary copy. Synchronous contraction of a random affine recursion gives an expected difference $2^{-n}\mathbb{E}|c-X_0|\le 2^{-n}(|c|+{\lambda }^{-1})$. Hence the one-time laws converge to $\mathrm{Exp}(\lambda )$, independently of $c$. An invariant initialization keeps every one-time law unchanged while the chain continues to fluctuate.

The two recursions use a synchronous coupling: they receive exactly the same fresh inputs. Subtraction cancels the additive term:The variable $U_n$ is independent of the preceding difference and has expected value $1/2$. Thus expectation of a product of independent random variables givesBy Markov's inequality, for every $\epsilon >0$,This proves the requested convergence in probability; in fact the difference has L1 convergence. It is synchronous contraction of a random affine recursion, and the estimate holds for every real $c$.

A synchronous coupling drives two processes with the same fresh random inputs. For example, recursions $X_{n+1}=F(X_n,{\xi }_{n+1})$ and $Y_{n+1}=F(Y_n,{\xi }_{n+1})$ use the same input ${\xi }_{n+1}$ at each step. This can reveal synchronous contraction of a random affine recursion even when independently simulated trajectories would conceal the relationship.

A synchronous coupling drives two solutions of a stochastic differential equation by the same Brownian motion. Their difference has noise coefficient $\sigma (X)-\sigma (Y)$. A dissipativity inequality for the drift and this coefficient gives the mean-square contraction of synchronously coupled diffusions.