Tail-homogeneity of stationary measures for some multidimensional stochastic recursions (Q842384)

The authors are concerned with the stochastic recursion \(X_{n+1}=M_{n+1}X_{n}+Q_{n+1},\;n\geq 0,\) where the \(\left( Q_{n},M_{n}\right) \) are i.i.d. random variables. Here, the \(Q_{n},\;n\geq 0\), are translations while the \(M_{n},\;n\geq 0,\) are similarities of \( ^{d}\). It is proved that if the recursion has a unique stationary measure \( \nu \) with unbounded support, then the weak limit of a properly dilated \(\nu \) exists and defines a homogeneous tail measure \(\Lambda .\) The structure of \(\Lambda \) is studied and the supports of \(\nu \) and \(\Lambda \) are compared. In particular, a product formula for \(\Lambda \) is derived.