On the multidimensional stochastic equation \(Y_{n+1}=A_{n} Y_{n}+B_{n}\)

DOI10.1016/j.crma.2004.07.024zbMath1063.60099MaRDI QIDQ704266

Yves Guivarc'h, Benoîte De Saporta, Emile Le Page

Publication date: 13 January 2005

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.2004.07.024

zbMATH Keywords

renewal theorem; behaviour at infinity of the solution tail; irreducibility-proximality-expanding condition; Markov chain functional; multi-dimensional linear auto-regressive process; multi-dimensional stochastic equation; polynomial queue behaviour at infinity

Mathematics Subject Classification ID

65C40: Numerical analysis or methods applied to Markov chains

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

65C30: Numerical solutions to stochastic differential and integral equations

60K05: Renewal theory

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Second order properties of distribution tails and estimation of tail exponents in random difference equations, Multivariate linear recursions with Markov-dependent coefficients, Extremal behaviour of models with multivariate random recurrence representation, Infinite products of random matrices and repeated interaction dynamics, A probabilistic representation of constants in Kesten's renewal theorem, On invariant measures of stochastic recursions in a critical case, Tail behaviour of stationary solutions of random difference equations: the case of regular matrices

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