A characterization of the Pareto process among stationary stochastic processes of the form \(X_ n=c\,\min (X_{n-1},Y_ n)\) (Q1262611)

The authors consider stationary stochastic solutions of the equation \(X_ n=c\cdot \min (X_{n-1},Y_ n),\) \(c>0\), where the upper bound \(Y_ n\) is non-negative white noise (non-negative i.i.d random variable). They give the very interesting result, that the level crossing processes \(Z_ n(t)=I(X_ n>t)\) are Markovian for every t if and only if the minimization process \(X_ n\) with \[ P(X_ n>x)=[1+(x/a)^{1/\gamma}]^{-1},\quad x>0, \] is a Pareto process.