Stochastic recursions: between Kesten's and Grincevičius-Grey's assumptions

DOI10.1016/j.spa.2019.05.016zbMath1433.60064arXiv1701.02625OpenAlexW2950827405MaRDI QIDQ2301497

Publication date: 24 February 2020

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

Full work available at URL: https://arxiv.org/abs/1701.02625

zbMATH Keywords

regular variation renewal theory perturbed random walk perpetuity

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Random operators and equations (aspects of stochastic analysis) (60H25) Distribution theory (60E99) Renewal theory (60K05)

Related Items (3)

Distribution tails of a history-dependent random linear recursion ⋮ On perpetuities with light tails ⋮ Affine stochastic equation with triangular matrices

Cites Work

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