On the multidimensional stochastic equation \(Y_{n+1}=A_{n} Y_{n}+B_{n}\)

DOI10.1016/j.crma.2004.07.024zbMath1063.60099OpenAlexW168790500MaRDI QIDQ704266

Emile Le Page, Yves Guivarc'h, Benoîte De Saporta

Publication date: 13 January 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.2004.07.024

zbMATH Keywords

renewal theorembehaviour at infinity of the solution tailirreducibility-proximality-expanding conditionMarkov chain functionalmulti-dimensional linear auto-regressive processmulti-dimensional stochastic equationpolynomial queue behaviour at infinity

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Random operators and equations (aspects of stochastic analysis) (60H25) Numerical solutions to stochastic differential and integral equations (65C30) Renewal theory (60K05)

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