Limit theorems for iterated random functions by regenerative methods.

DOI10.1016/S0304-4149(01)00104-1zbMath1058.60054MaRDI QIDQ1766012

Gerold Alsmeyer, Cheng-Der Fuh

Publication date: 25 February 2005

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

zbMATH Keywords

stationary distribution; Lipschitz map; Prokhorov metric; backward iterations; iterated random function; forward iterations; level \(\gamma \) ladder epochs

Mathematics Subject Classification ID

60G50: Sums of independent random variables; random walks

60J05: Discrete-time Markov processes on general state spaces

60G17: Sample path properties

60K05: Renewal theory

Related Items

Limit theorems for iterated random functions, WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS, Consistency of Markov chain quasi-Monte Carlo on continuous state spaces, On the stationary tail index of iterated random Lipschitz functions, Tail estimates for stochastic fixed point equations via nonlinear renewal theory, A survey of average contractive iterated function systems, Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models

Cites Work

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• Some One-Sided Theorems on the Tail Distribution of Sample Sums with Applications to the Last Time and Largest Excess of Boundary Crossings
• Iterated Random Functions