Stability of perpetuities in Markovian environment

DOI10.1080/10236198.2016.1271878zbMath1371.60174arXiv1610.09965OpenAlexW2544216139MaRDI QIDQ4978645

Gerold Alsmeyer, Fabian Buckmann

Publication date: 25 August 2017

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.09965

zbMATH Keywords

iterated function systemalmost sure convergenceMarkovian environmentperpetuityrandom affine mapdistributional convergencestochastic fixed-point equationforward-backward iteration

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Random operators and equations (aspects of stochastic analysis) (60H25) Markov renewal processes, semi-Markov processes (60K15) Processes in random environments (60K37) Renewal theory (60K05)

Related Items (5)

Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory ⋮ Exponential functionals of Markov additive processes ⋮ On solutions of the distributional Bellman equation ⋮ An arcsine law for Markov random walks ⋮ Fluctuation theory for Markov random walks

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