Large excursions and conditioned laws for recursive sequences generated by random matrices
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Publication:1660628
DOI10.1214/17-AOP1221zbMath1430.60073arXiv1608.05175MaRDI QIDQ1660628
Jeffrey F. Collamore, Sebastian Mentemeier
Publication date: 16 August 2018
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1608.05175
first passage timeslarge deviationsextreme value theoryconditional limit theoremsproducts of random matricesstochastic fixed-point equationsrandom recurrence equationsMarkov chain theory in general state spacenonlinear Markov renewal theory
Random matrices (probabilistic aspects) (60B20) Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10) Markov renewal processes, semi-Markov processes (60K15) Sample path properties (60G17)
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