Convergence of series of Gaussian Markov sequences (Q2890729)

Let \((\xi_k)_{k\in\mathbb{N}_0}\) be a random sequence defined by NEWLINE\[NEWLINE\xi_0=0, \;\;\xi_k=\alpha_k\xi_{k-1}+\beta_k\gamma_k, \;\;k\in\mathbb{N},NEWLINE\]NEWLINE where \((\alpha_k)_{k\in \mathbb{N}}\) and \((\beta_k)_{k\in \mathbb{N}}\) are real and nonnegative numbers, respectively, and \((\gamma_k)_{k\in \mathbb{N}}\) are i.i.d. random variables with standard normal distribution. The author proves a criterion for the a.s. convergence of the random series \(\sum_{k\geq 1}\xi_k\). The main technical tool is a reduction to a better known two-dimensional stochastic difference equation \(X_k=A_kX_{k-1}+B_k\). Several illustrating examples are also given.