Divergent Perpetuities Modulated by Regime Switches (Q2841131)

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English	Divergent Perpetuities Modulated by Regime Switches	scientific article

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scholarly article

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Divergent Perpetuities Modulated by Regime Switches (English)

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Alexander Roitershtein

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Stochastic Models

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publication date

24 July 2013

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zbMATH Keywords

Stochastic difference equation

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random linear recursions

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limit theorems

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Markov models

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chains of infinite order.

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/15326349.2013.783282

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On distributional properties of perpetuities

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Change‐point monitoring in linear models

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The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case

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The Distribution of Wealth and Fiscal Policy in Economies With Finitely Lived Agents

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Chains with infinite connections: Uniqueness and Markov representation

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A limitation of Markov representation for stationary processes

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Poisson and extreme value limit theorems for Markov random fields

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A central limit theorem for stationary \(\rho\)-mixing sequences with infinite variance

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The stochastic equation <i>Y<sub>n</sub></i><sub>+1</sub>=<i>A<sub>n</sub>Y<sub>n</sub> + B<sub>n</sub></i> with stationary coefficients

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Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence

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On invariant measures of stochastic recursions in a critical case

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On the invariant measure of the random difference equation \(X_{n} = a_{n}x_{n - 1} + b_{n}\) in the critical case

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Asymptotic inference for nearly nonstationary AR(1) processes

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Testing for Regime Switching

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Random recurrence equations and ruin in a Markov-dependent stochastic economic environment

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Processes with long memory: Regenerative construction and perfect simulation

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Mixing Conditions for Markov Chains

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Tail of the stationary solution of the stochastic equation \(Y_{n+1}=a_{n} Y_{n}+b_{n}\) with Markovian coefficients

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A criterion for uniqueness in $G$-measures and perfect sampling

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Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model

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Chains with complete connections: general theory, uniqueness, loss of memory and mixing properties

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Cesàro mean distribution of group automata starting from measures with summable decay

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Random linear recursions with dependent coefficients

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Noncooperative Collusion under Imperfect Price Information

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On the Continuity of the Distribution of a Sum of Dependent Variables Connected with Independent Walks on Lines

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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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On chains of infinite order

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Multivariate linear recursions with Markov-dependent coefficients

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Renorming divergent perpetuities

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Stability of linear stochastic difference equations in strategically controlled random environments

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Limit theorems for additive functionals of a Markov chain

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On the Markov chain central limit theorem

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Random Markov processes and uniform martingales

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Strongly mixing g-measures

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Random difference equations and renewal theory for products of random matrices

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Dynamic linear models with Markov-switching

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Generalized Poisson distributions as limits of sums for arrays of dependent random vectors

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Regenerative representation for one-dimensional Gibbs states

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Extremal theory for stochastic processes

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Random coefficient autoregression, regime switching and long memory

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Markov Chains and Stochastic Stability

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SOME PROPERTIES OF A RANDOM LINEAR DIFFERENCE EQUATION1

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The Law of the Iterated Logarithm for Mixing Stochastic Processes

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Testing for a unit root in time series regression

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Limit laws for a stochastic process and random recursion arising in probabilistic modelling

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A universal data compression system

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The distance between rival nonstationary fractional processes

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One-dimensional linear recursions with Markov-dependent coefficients

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Multivariate Markov-switching ARMA processes with regularly varying noise

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Uniqueness in<i>g</i>-measures

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MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY

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Convergence to Lévy stable processes under some weak dependence conditions

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On a stochastic difference equation and a representation of non–negative infinitely divisible random variables

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A PROCESS-RECONSTRUCTION ANALYSIS OF MARKET FLUCTUATIONS

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Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence

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Identifiers

zbMATH Open document ID

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10.1080/15326349.2013.783282

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2841131

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