Tail estimates for stochastic fixed point equations via nonlinear renewal theory

DOI10.1016/j.spa.2013.04.015zbMath1292.60070arXiv1103.2317MaRDI QIDQ2447717

Jeffrey F. Collamore, Anand N. Vidyashankar

Publication date: 28 April 2014

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

Full work available at URL: https://arxiv.org/abs/1103.2317

zbMATH Keywords

large deviations; extremal index; geometric ergodicity; slowly changing functions; nonlinear renewal theory; random recurrence equations; GARCH processes; Harris recurrent Markov chains; Cramér-Lundberg theory with stochastic investments; Letac's principle

Mathematics Subject Classification ID

60G70: Extreme value theory; extremal stochastic processes

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

60H25: Random operators and equations (aspects of stochastic analysis)

60F10: Large deviations

60K05: Renewal theory

Related Items

Markov tail chains, A simple proof of heavy tail estimates for affine type Lipschitz recursions, Rare event simulation for processes generated via stochastic fixed point equations, Two-sided bounds for \(L_p\)-norms of combinations of products of independent random variables, On the Kesten–Goldie constant

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