We study the concentration phenomenon for discrete-time random dynamical systems with an unbounded state space. We develop a heuristic approach towards obtaining exponential concentration inequalities for dynamical systems using an entirely functional analytic framework. We also show that existence of exponential-type Lyapunov function, compared to the purely deterministic setting, not only implies stability but also exponential concentration inequalities for sampling from the stationary distribution, via \emph{transport-entropy inequality} (T-E). These results have significant impact in \emph{reinforcement learning} (RL) and \emph{controls}, leading to exponential concentration inequalities even for unbounded observables, while neither assuming reversibility nor exact knowledge of random dynamical system (assumptions at heart of concentration inequalities in statistical mechanics and Markov diffusion processes).
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