A random difference equation

DOI10.1007/BF00969848zbMath0518.60074OpenAlexW1977656798MaRDI QIDQ1054083

A. K. Grincevičius

Publication date: 1982

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00969848

zbMATH Keywords

difference equation with random coefficientsrelations among different kinds of convergence

Mathematics Subject Classification ID

Stochastic analysis (60H99) Limit theorems in probability theory (60F99)

Related Items (6)

On distributional properties of perpetuities ⋮ Second order properties of distribution tails and estimation of tail exponents in random difference equations ⋮ Sieving random iterative function systems ⋮ Conditions for convergence of random coefficient \(\mathrm{AR}(1)\) processes and perpetuities in higher dimensions ⋮ Fluctuation theory for Markov random walks ⋮ Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes

Cites Work

• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
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