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Carlo Beenakker
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a general approach to problems of this type, worked out for a slightly different continued fraction, $Y_n=X_n+1/X_{n-1}$, is described in Random Continued Fractions: A Markov Chain Approach (2004). A closed-form answer follows if the $X_n$'s have a Gamma distribution, $P(X)\propto X^{\lambda-1}e^{-aX}$, $X> 0$, when the $n\rightarrow\infty$ limit of $Y_n$ tends to the distribution $P(Y)\propto Y^{\lambda-1}\exp[-a(Y+1/Y)]$, $Y>0$.

Carlo Beenakker
  • 188.1k
  • 18
  • 448
  • 651