Distribution tails of a history-dependent random linear recursion

DOI10.1080/15326349.2021.2003712MaRDI QIDQ5071664zbMATH OpenOpenAlexFDO

Authors Alexander Roitershtein, Zirou Zhou

Publication date 22 April 2022

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2021.2003712

zbMATH Keywords

confluent hypergeometric functionheavy tailshistory-dependent sequenceKummer's equationrandom linear recursionregular variationstochastic difference equationtail asymptotic

Mathematics Subject Classification ID

Confluent hypergeometric functions, Whittaker functions, ({}_1F_1) (33C15) Ordinary differential equations and systems with randomness (34F05) Random iteration (37H12) Stochastic difference equations (39A50) Random operators and equations (aspects of stochastic analysis) (60H25) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

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• scientific article; zbMATH DE number 107487 (Why is no real title available?)
• scientific article; zbMATH DE number 3238248 (Why is no real title available?)
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• Limit laws for a stochastic process and random recursion arising in probabilistic modelling
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• The fractional linear probability generating function in the random environment branching process

Cited in

(1)

• History-dependent random processes

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