For a class of stationary Markov-dependent sequences (An, Bn)∈ℝ2, we consider the random linear recursion Sn=An+BnSn−1, n∈ℤ, and show that the distribution tail of its stationary solution has a power law decay.
Publié le : 2007-04-14
Classification:
Random linear recursions,
stochastic difference equations,
tail asymptotic,
Markov random walks,
Markov renewal theory,
60K15,
60K20
@article{1174323257,
author = {Roitershtein, Alexander},
title = {One-dimensional linear recursions with Markov-dependent coefficients},
journal = {Ann. Appl. Probab.},
volume = {17},
number = {1},
year = {2007},
pages = { 572-608},
language = {en},
url = {http://dml.mathdoc.fr/item/1174323257}
}
Roitershtein, Alexander. One-dimensional linear recursions with Markov-dependent coefficients. Ann. Appl. Probab., Tome 17 (2007) no. 1, pp. 572-608. http://gdmltest.u-ga.fr/item/1174323257/