The stochastic equation \(Y_{t+1}= A_t Y_t+ B_t\) with non-stationary coefficients (Q2731153)

This paper is concerned with the asymptotics for the sequence \(Y_{t+1}=A_t Y_t+B_t\) defined by the non-stationary random environment \((A_t,B_t)_t\). Specifically, convergence in distribution is proven for the shifted process \((Y_{T+t})_t\) as \(T \to \infty\) under the condition that \((A_t,B_t)_t\) is stationary under an auxiliary probability which coincides with the original probability on the tail field of \((A_t,B_t)_t\). Moreover, convergence of finite-dimensional marginal distributions is shown to hold true also under the weaker assumption that the process \((A_t,B_t)_t\) can be approximated by certain stationary and ergodic processes.