Affine stochastic equation with triangular matrices
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Abstract: We study solution X of the stochastic equation X = AX +B, where A is a random matrix and B,X are random vectors, the law of (A,B) is given and X is independent of (A,B). The equation is meant in law, the matrix A is 2x2 upper triangular, A_{11}=A_{22}>0, A_{12} is real. A sharp asymptotics of the tail of X =(X _1,X_2) is obtained. We show that under "so called" Kesten-Goldie conditions P (X_2>t)sim t^{-a} and P (X_1>t )sim t^{-a}(log t)^b, where b =a or a2.
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Cited in
(8)- Stochastic Airy semigroup through tridiagonal matrices
- Tails of bivariate stochastic recurrence equation with triangular matrices
- Tail indices for \(AX+B\) recursion with triangular matrices
- Affine random equations and the stable \(\left( {1 \over 2} \right)\) distribution
- Componentwise different tail solutions for bivariate stochastic recurrence equations with application to \(\text{GARCH}(1,1)\) processes
- Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach
- Asymptotically linear iterated function systems on the real line
- Stochastic difference equation with diagonal matrices
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