On the invariant measure of the random difference equation \(X_{n} = a_{n}x_{n - 1} + b_{n}\) in the critical case

DOI10.1214/10-AIHP406zbMath1259.60077arXiv0809.1864OpenAlexW2963374534MaRDI QIDQ424697

Dariusz Buraczewski, Sara Brofferio, Ewa Damek

Publication date: 4 June 2012

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0809.1864

zbMATH Keywords

invariant measurerandom walkaffine grouphomogeneous measurerandom coefficients autoregressive model

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)

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