Tail of the stationary solution of the stochastic equation \(Y_{n+1}=a_{n} Y_{n}+b_{n}\) with Markovian coefficients

DOI10.1016/J.CRMA.2004.11.018zbMath1059.60081OpenAlexW2157762173MaRDI QIDQ5916119

Benoîte De Saporta

Publication date: 22 February 2005

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2004.11.018

Mathematics Subject Classification ID

Stochastic analysis (60H99) Renewal theory (60K05)

Cites Work

• Unnamed Item
• Implicit renewal theory and tails of solutions of random equations
• Products of random affine transformations
• Random difference equations and renewal theory for products of random matrices
• Renewal theory for functionals of a Markov chain with general state space
• Renewal theorem for a system of renewal equations
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients

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