A simple proof of heavy tail estimates for affine type Lipschitz recursions

DOI10.1016/j.spa.2016.06.022zbMath1354.60025arXiv1604.06943OpenAlexW2963140710MaRDI QIDQ730355

Ewa Damek, Dariusz Buraczewski

Publication date: 27 December 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.06943

zbMATH Keywords

tail asymptoticsrandom difference equationsaffine recursioniterated functions systemLipschitz recursion

Mathematics Subject Classification ID

Large deviations (60F10)

Related Items (8)

On ruin probabilities with risky investments in a stock with stochastic volatility ⋮ Pointwise estimates for first passage times of perpetuity sequences ⋮ On ruin probabilities with investments in a risky asset with a regime-switching price ⋮ Asymptotically linear iterated function systems on the real line ⋮ Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process ⋮ Iterated random functions and regularly varying tails ⋮ Stochastic recursions: between Kesten's and Grincevičius-Grey's assumptions ⋮ Affine stochastic equation with triangular matrices

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Spectral gap properties for linear random walks and Pareto's asymptotics for affine stochastic recursions
• Large deviation estimates for exceedance times of perpetuity sequences and their dual processes
• Heavy tail phenomenon and convergence to stable laws for iterated Lipschitz maps
• Implicit renewal theory and tails of solutions of random equations
• Tail-homogeneity of stationary measures for some multidimensional stochastic recursions
• On the stationary tail index of iterated random Lipschitz functions
• Iterated random functions and slowly varying tails
• Random difference equations and renewal theory for products of random matrices
• One limit distribution for a random walk on the line
• A multiplicative ergodic theorem for Lipschitz maps
• Central limit theorems for iterated random Lipschitz mappings.
• On unbounded invariant measures of stochastic dynamical systems
• Tail estimates for stochastic fixed point equations via nonlinear renewal theory
• On the homogeneity at infinity of the stationary probability for an affine random walk
• Stochastic Models with Power-Law Tails
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• Iterated Random Functions

This page was built for publication: A simple proof of heavy tail estimates for affine type Lipschitz recursions