The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case

DOI10.1214/aop/1024404297zbMath0873.60045OpenAlexW2013045467MaRDI QIDQ1356352

Laure Elie, Martine Babillot, Philippe Bougerol

Publication date: 3 July 1997

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1024404297

zbMATH Keywords

stabilitylimit theoremrandom walkrenewal theoremaffine grouprandom coefficient autoregressive models

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Renewal theory (60K05)

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Cites Work

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