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

DOI10.1016/J.SPA.2016.06.022zbMATH Open1354.60025arXiv1604.06943OpenAlexW2963140710MaRDI QIDQ730355FDOQ730355

Ewa Damek, Dariusz Buraczewski

Publication date: 27 December 2016

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

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.

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

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zbMATH Keywords

tail asymptoticsrandom difference equationsaffine recursioniterated functions systemLipschitz recursion

Mathematics Subject Classification ID

Large deviations (60F10)

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Cited In (8)

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

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