Limit theorems for stochastic recursions with Markov dependent coefficients
Dariusz Buraczewski ; Małgorzata Letachowicz
Colloquium Mathematicae, Tome 126 (2012), p. 263-276 / Harvested from The Polish Digital Mathematics Library
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We consider the stochastic recursion Xₙ=AₙXn-1+Bₙ for Markov dependent coefficients (Aₙ,Bₙ) ∈ ℝ⁺ × ℝ. We prove the central limit theorem, the local limit theorem and the renewal theorem for the partial sums Sₙ = X₁+ ⋯ + Xₙ.

Publié le : 2012-01-01
EUDML-ID : urn:eudml:doc:284230 
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Dariusz Buraczewski; Małgorzata Letachowicz. Limit theorems for stochastic recursions with Markov dependent coefficients. Colloquium Mathematicae, Tome 126 (2012) pp. 263-276. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-cm128-2-12/