Limit theorems for iterated random functions by regenerative methods.

DOI10.1016/S0304-4149(01)00104-1MaRDI QIDQ1766012zbMATH OpenWikidataFDO

Authors Gerold Alsmeyer, Cheng-Der Fuh

Publication date 25 February 2005

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4149(01)00104-1

zbMATH Keywords

backward iterationsforward iterationsiterated random functionlevel \(\gamma \) ladder epochsLipschitz mapProkhorov metricstationary distribution

Mathematics Subject Classification ID

Sample path properties (60G17) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05) Renewal theory (60K05)

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Cites work

• A multiplicative ergodic theorem for Lipschitz maps
• Ergodic theorems for iterated function systems controlled by regenerative sequences
• scientific article; zbMATH DE number 192907 (Why is no real title available?)
• Iterated Random Functions
• Some One-Sided Theorems on the Tail Distribution of Sample Sums with Applications to the Last Time and Largest Excess of Boundary Crossings
• The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case

Cited in

(19)

• The geometric rate of convergence of random iteration in the Hutchinson distance
• Limits of the Letac principle: the discrete case
• Asymptotic behavior for Markovian iterated function systems
• Sieving random iterative function systems
• On beta distributed limits of iterated linear random functions
• Tail estimates for stochastic fixed point equations via nonlinear renewal theory
• A survey of average contractive iterated function systems
• scientific article; zbMATH DE number 3878129 (Why is no real title available?)
• scientific article; zbMATH DE number 3878130 (Why is no real title available?)
• Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models
• On a contractibility condition for iterated random functions
• Iterated Random Functions
• Deviation inequalities for separately Lipschitz functionals of iterated random functions
• Limit theorems for iterated random functions
• WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS
• A simple proof of a basic theorem on iterated random functions
• Consistency of Markov chain quasi-Monte Carlo on continuous state spaces
• Multilevel linear models, Gibbs samplers and multigrid decompositions (with discussion)
• On the stationary tail index of iterated random Lipschitz functions

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