A simple proof of heavy tail estimates for affine type Lipschitz recursions

DOI10.1016/J.SPA.2016.06.022MaRDI QIDQ730355zbMATHOpenAlexFDO

Authors Dariusz Buraczewski, Ewa Damek

Publication date 27 December 2016

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1604.06943

zbMATH Keywords

tail asymptoticsrandom difference equationsaffine recursioniterated functions systemLipschitz recursion

Mathematics Subject Classification ID

Large deviations (60F10)

Abstract: We study the affine recursion $X_n=A_n{X}_{n-1}+B_n$ where $(A_n,B_n)in{mathbbR}^{+}imesmathbbR$ is an i.i.d. sequence and recursions $X_n=Ph{i}_n(X_{n-1})$ defined by Lipschitz transformations such that $Phi(x)geqAx+B$. It is known that under appropriate hypotheses the stationary solution $X$ has regularly varying tail, i.e. ${\displaystyle }$lim_{t oinfty} t^{alpha} {mathbb P}[X>t] = C. ${\displaystyle }$ However positivity of $C$ in general is either unknown or requires some additional involved arguments. In this paper we give a simple proof that $C>0$. This applies, in particular, to the case when Kesten-Goldie assumptions are satisfied.

Recommendations

• Stochastic recursions: between Kesten's and Grincevičius-Grey's assumptions
• Heavy tail properties of stationary solutions of multidimensional stochastic recursions
• Asymptotics of stationary solutions of multivariate stochastic recursions with heavy tailed inputs and related limit theorems
• On the rate of convergence in the Kesten renewal theorem
• Heavy tail phenomenon and convergence to stable laws for iterated Lipschitz maps

Cites work

• scientific article; zbMATH DE number 3942642 (Why is no real title available?)
• scientific article; zbMATH DE number 43570 (Why is no real title available?)
• scientific article; zbMATH DE number 65721 (Why is no real title available?)
• A multiplicative ergodic theorem for Lipschitz maps
• Central limit theorems for iterated random Lipschitz mappings.
• Heavy tail phenomenon and convergence to stable laws for iterated Lipschitz maps
• Implicit renewal theory and tails of solutions of random equations
• Iterated Random Functions
• Iterated random functions and slowly varying tails
• Large deviation estimates for exceedance times of perpetuity sequences and their dual processes
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• On the homogeneity at infinity of the stationary probability for an affine random walk
• On the stationary tail index of iterated random Lipschitz functions
• On unbounded invariant measures of stochastic dynamical systems
• One limit distribution for a random walk on the line
• Random difference equations and renewal theory for products of random matrices
• Spectral gap properties for linear random walks and Pareto's asymptotics for affine stochastic recursions
• Stochastic Models with Power-Law Tails
• Tail estimates for stochastic fixed point equations via nonlinear renewal theory
• Tail-homogeneity of stationary measures for some multidimensional stochastic recursions

Cited in

(9)

• Affine stochastic equation with triangular matrices
• On the Kesten-Goldie constant
• Pointwise estimates for first passage times of perpetuity sequences
• Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
• On ruin probabilities with risky investments in a stock with stochastic volatility
• Asymptotically linear iterated function systems on the real line
• Stochastic recursions: between Kesten's and Grincevičius-Grey's assumptions
• Iterated random functions and regularly varying tails
• On ruin probabilities with investments in a risky asset with a regime-switching price

This page was built for publication: A simple proof of heavy tail estimates for affine type Lipschitz recursions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q730355)