The random difference equation X_ n = A_ n X_n-1 + B_ n in the critical case

DOI10.1214/AOP/1024404297zbMATH Open0873.60045OpenAlexW2013045467MaRDI QIDQ1356352FDOQ1356352

Authors: Martine Babillot, Philippe Bougerol, Laure Elie 

Publication date: 3 July 1997

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1024404297

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zbMATH Keywords

random walkstabilitylimit theoremrenewal theoremaffine grouprandom coefficient autoregressive models

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Sums of independent random variables; random walks (60G50) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Renewal theory (60K05)

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Cited In (55)

• Conditional estimation for dependent functional data
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• On the Kesten-Goldie constant
• Speed of stochastic locally contractive systems.
• Iterated random functions and slowly varying tails
• Normalisation d'un processus de branchement critique dans un environnement aléatoire. (Normalization of a critical branching process in a random environment)
• Inhomogeneous refinement equations with random affine maps
• On tails of fixed points of the smoothing transform in the boundary case
• Recurrence of absolute-difference chains
• Rate of escape of conditioned Brownian motion
• Title not available (Why is that?)
• SOME PROPERTIES OF A RANDOM LINEAR DIFFERENCE EQUATION1
• Multidimensional random walk with reflections
• On invariant measures of stochastic recursions in a critical case
• Recurrence of two-dimensional queueing processes, and random walk exit times from the quadrant
• Random iteration and Markov operators
• Positive harmonic functions for semi-isotropic random walks on trees, lamplighter groups, and DL-graphs
• Two-sided bounds for \(L_p\)-norms of combinations of products of independent random variables
• Linear stochastic equations in the critical case
• Regular variation of GARCH processes.
• Weak symmetries of stochastic differential equations driven by semimartingales with jumps
• Linear fractional Galton-Watson processes in random environment and perpetuities
• Limit theorems for iterated random functions by regenerative methods.
• Poisson boundary for finitely generated groups of rational affinities
• Eaton's Markov chain, its conjugate partner and \(\mathcal P\)-admissibility
• Random difference equations with logarithmic distribution and the triggered shot noise
• Divergent perpetuities modulated by regime switches
• Recurrence and ergodicity of random walks on linear groups and on homogeneous spaces
• Conditions for certain ruin for the generalised Ornstein-Uhlenbeck process and the structure of the upper and lower bounds
• Recurrence and transience of critical branching processes in random environment with immigration and an application to excited random walks
• Effective branching splitting method under cost constraint
• Random difference equations: An asymptotical result
• Polynomially growing harmonic functions on connected groups
• Sharp conditions for certain ruin in a risk process with stochastic return on investments
• Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions
• Multivariate linear recursions with Markov-dependent coefficients
• On uniqueness of invariant measures for random walks on
• Recurrence on affine Grassmannians
• Recurrence and transience of random difference equations in the critical case
• On unbounded invariant measures of stochastic dynamical systems
• Renewal theory on the affine group of an oriented tree
• The Poisson boundary of random rational affinities
• Nearest neighbor conditional estimation for Harris recurrent Markov chains
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• On the asymptotic behaviour of random recursive trees in random environments
• Tail homogeneity of invariant measures of multidimensional stochastic recursions in a critical case
• On the invariant measure of the random difference equation \(X_{n} = a_{n}x_{n - 1} + b_{n}\) in the critical case
• Null recurrence and transience of random difference equations in the contractive case
• Infinitely divisible Wald's couples. Examples linked with the Euler gamma and the Riemann zeta functions.
• Asymptotic Behavior of Poisson Kernels on NA Groups
• Symmetric random walks on \(\mathrm{Homeo}^+ (\mathbb{R})\)
• A note on the comparison of stationary laws of Markov processes
• Lyapunov exponent for products of random Ising transfer matrices: the balanced disorder case
• Stationary probability measures on projective spaces 1: block-Lyapunov dominated systems
• Critical intermittency in rational maps

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