Stochastic recursions: between Kesten's and Grincevičius-Grey's assumptions
From MaRDI portal
Publication:2301497
DOI10.1016/j.spa.2019.05.016zbMath1433.60064arXiv1701.02625OpenAlexW2950827405MaRDI QIDQ2301497
Ewa Damek, Bartosz Kołodziejek
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
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
- Unnamed Item
- Unnamed Item
- A note on the Kesten-Grincevičius-Goldie theorem
- Heavy tail phenomenon and convergence to stable laws for iterated Lipschitz maps
- A simple proof of heavy tail estimates for affine type Lipschitz recursions
- Implicit renewal theory and tails of solutions of random equations
- Tail-homogeneity of stationary measures for some multidimensional stochastic recursions
- On the stationary tail index of iterated random Lipschitz functions
- Iterated random functions and slowly varying tails
- Perpetuities with thin tails revisited
- Extreme value theory for moving average processes
- Random difference equations and renewal theory for products of random matrices
- One limit distribution for a random walk on the line
- Limit theorems for semi-Markov processes and renewal theory for Markov chains
- A multiplicative ergodic theorem for Lipschitz maps
- Regular variation in the tail behaviour of solutions of random difference equations
- The left tail of renewal measure
- Central limit theorems for iterated random Lipschitz mappings.
- Two renewal theorems for general random walks tending to infinity
- A renewal theorem and supremum of a perturbed random walk
- Logarithmic tails of sums of products of positive random variables bounded by one
- On unbounded invariant measures of stochastic dynamical systems
- On the rate of convergence in the Kesten renewal theorem
- Extension of a renewal theorem
- Stochastic Models with Power-Law Tails
- On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
- Iterated Random Functions
- On perpetuities with gamma-like tails
- Iterated random functions and regularly varying tails
- Perpetuities with thin tails
- On perpetuities with light tails
- On Moment Generating Functions and Renewal Theory
This page was built for publication: Stochastic recursions: between Kesten's and Grincevičius-Grey's assumptions