On invariant measures of stochastic recursions in a critical case

DOI10.1214/105051607000000140MaRDI QIDQ2467603zbMATH OpenOpenAlexFDO

Authors Dariusz Buraczewski

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

zbMATH Keywords

regular variationqueuesaffine grouprandom coefficients autoregressive modelrandom equationscontractive system

Mathematics Subject Classification ID

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)

Abstract: We consider an autoregressive model on $mathbbR$ defined by the recurrence equation $X_n=A_n{X}_{n-1}+B_n$, where $(B_n,A_n)$ are i.i.d. random variables valued in $mathbbRimesmathbb{R}^{+}$ and $mathbbE[log{A}_1]=0$ (critical case). It was proved by Babillot, Bougerol and Elie that there exists a unique invariant Radon measure of the process $X_n$. The aim of the paper is to investigate its behavior at infinity. We describe also stationary measures of two other stochastic recursions, including one arising in queuing theory.

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Cited in

(13)

• Speed of stochastic locally contractive systems.
• 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
• Divergent perpetuities modulated by regime switches
• On unbounded invariant measures of stochastic dynamical systems
• Recurrence and transience of random difference equations in the critical case
• Random walks on the affine group of a homogeneous tree in the drift-free case
• 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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