Large deviation estimates for exceedance times of perpetuity sequences and their dual processes
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Publication:504245
DOI10.1214/15-AOP1059zbMath1362.60023arXiv1411.7693MaRDI QIDQ504245
Ewa Damek, Dariusz Buraczewski, Jeffrey F. Collamore, Jacek Zienkiewicz
Publication date: 13 January 2017
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1411.7693
large deviationsfirst-passage timesruin probabilitiesstochastic fixed-point equationsSiegmund dualityrandom recurrence equations
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Random operators and equations (aspects of stochastic analysis) (60H25) Large deviations (60F10) Renewal theory (60K05)
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