Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations

DOI10.1214/009117905000000350zbMath1085.60017OpenAlexW1983028078MaRDI QIDQ2571701

Thomas Mikosch, Dimitrios G. Konstantinides

Publication date: 14 November 2005

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/009117905000000350

zbMATH Keywords

regular variation

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Signal detection and filtering (aspects of stochastic processes) (60G35) Large deviations (60F10)

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