On invariant measures of stochastic recursions in a critical case
DOI10.1214/105051607000000140zbMATH Open1151.60034arXiv0710.3687OpenAlexW3099566494MaRDI QIDQ2467603FDOQ2467603
Publication date: 28 January 2008
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0710.3687
regular variationqueuesaffine grouprandom coefficients autoregressive modelrandom equationscontractive system
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Sums of independent random variables; random walks (60G50) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)
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Cited In (12)
- Iterated random functions and slowly varying tails
- Basic properties of critical lognormal multiplicative chaos
- On tails of fixed points of the smoothing transform in the boundary case
- Linear stochastic equations in the critical case
- On the derivative martingale in a branching random walk
- Recurrence and transience of random difference equations in the critical case
- On unbounded invariant measures of stochastic dynamical systems
- Random walks on the affine group of a homogeneous tree in the drift-free case
- Divergent Perpetuities Modulated by Regime Switches
- Tail homogeneity of invariant measures of multidimensional stochastic recursions in a critical case
- On the invariant measure of the random difference equation \(X_{n} = a_{n}x_{n - 1} + b_{n}\) in the critical case
- Null recurrence and transience of random difference equations in the contractive case
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