Slowly varying asymptotics for signed stochastic difference equations

DOI10.1007/978-3-030-83309-1_14MaRDI QIDQ2080153zbMATH OpenOpenAlexFDO

Authors Dmitry Korshunov

Publication date 7 October 2022

Full work available at URL https://arxiv.org/abs/2007.13349

zbMATH Keywords

heavy tailslong-tailed and subexponential distributionsslowly varying tail asymptoticsstochastic difference equations

Mathematics Subject Classification ID

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

Abstract: For a stochastic difference equation $D_n=A_n{D}_{n-1}+B_n$ which stabilises upon time we study tail distribution asymptotics of $D_n$ under the assumption that the distribution of $log(1+|A_1|+|B_1|)$ is heavy-tailed, that is, all its positive exponential moments are infinite. The aim of the present paper is three-fold. Firstly, we identify the asymptotic behaviour not only of the stationary tail distribution but also of $D_n$. Secondly, we solve the problem in the general setting when $A$ takes both positive and negative values. Thirdly, we get rid of auxiliary conditions like finiteness of higher moments used in the literature before.

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Cited in

(1)

• Random difference equations with subexponential innovations

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