Iterated random functions and regularly varying tails

DOI10.1080/10236198.2018.1505881MaRDI QIDQ4689895zbMATH OpenOpenAlexWikidataFDO

Authors Ewa Damek, Piotr Dyszewski

Publication date 22 October 2018

Published in Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1706.03876

zbMATH Keywords

random difference equationstationary distributionstochastic recursionsregularly varying distributionconvolution equivalent tails

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Random operators and equations (aspects of stochastic analysis) (60H25)

Abstract: We consider solutions to so-called stochastic fixed point equation $Rstackreld=Psi(R)$, where $Psi$ is a random Lipschitz function and $R$ is a random variable independent of $Psi$. Under the assumption that $Psi$ can be approximated by the function $xmapstoAx+B$ we show that the tail of $R$ is comparable with the one of $A$, provided that the distribution of $log(Avee1)$ is tail equivalent. In particular we obtain new results for the random difference equation.

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Cited in

(13)

• Iterated random functions and slowly varying tails
• scientific article; zbMATH DE number 169737 (Why is no real title available?)
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• Implicit renewal theory in the arithmetic case
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