Extreme-value asymptotics for affine random walks

DOI10.1016/J.CRMA.2013.09.017zbMath1305.60037OpenAlexW2047304455MaRDI QIDQ386672

Emile Le Page, Yves Guivarc'h

Publication date: 10 December 2013

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2013.09.017

zbMATH Keywords

convolutionpoint processesextreme value theorystationary probabilityhomogeneous measureaffine random walk

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (2)

Spectral gap properties for linear random walks and Pareto's asymptotics for affine stochastic recursions ⋮ Extreme value theory for random walks on homogeneous spaces

Cites Work

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• Poisson law for Axiom A diffeomorphisms
• On spectral properties of a family of transfer operators and convergence to stable laws for affine random walks

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