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

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