Heavy tail properties of stationary solutions of multidimensional stochastic recursions
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Publication:5307900
DOI10.1214/074921706000000121zbMath1126.60052arXivmath/0608239OpenAlexW1646939977MaRDI QIDQ5307900
Publication date: 19 September 2007
Full work available at URL: https://arxiv.org/abs/math/0608239
Sums of independent random variables; random walks (60G50) Random operators and equations (aspects of stochastic analysis) (60H25) Dynamical systems involving transformations and group actions with special properties (minimality, distality, proximality, expansivity, etc.) (37B05)
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Tail-homogeneity of stationary measures for some multidimensional stochastic recursions ⋮ Polling systems with parameter regeneration, the general case ⋮ Tail homogeneity of invariant measures of multidimensional stochastic recursions in a critical case ⋮ Second order properties of distribution tails and estimation of tail exponents in random difference equations ⋮ Affine stochastic recursions and stable laws ⋮ Multivariate linear recursions with Markov-dependent coefficients ⋮ Asymptotics of stationary solutions of multivariate stochastic recursions with heavy tailed inputs and related limit theorems ⋮ Heavy tail phenomenon and convergence to stable laws for iterated Lipschitz maps ⋮ On invariant measures of stochastic recursions in a critical case ⋮ Two-sided bounds for \(L_p\)-norms of combinations of products of independent random variables ⋮ Convergence to stable laws for a class of multidimensional stochastic recursions
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