Iterated random functions and slowly varying tails

DOI10.1016/J.SPA.2015.09.005MaRDI QIDQ901296zbMATH OpenOpenAlexFDO

Authors Piotr Dyszewski

Publication date 23 December 2015

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

Full work available at URL https://arxiv.org/abs/1408.1658

zbMATH Keywords

Markov chainrandom difference equationstationary distributionsubexponential distributionsstochastic recursionsrandom Lipschitz functions

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Random operators and equations (aspects of stochastic analysis) (60H25)

Abstract: Consider a sequence of i.i.d. random Lipschitz functions ${Ps{i}_n}_{ngeq0}$. Using this sequence we can define a Markov chain via the recursive formula $R_{n+1}=Ps{i}_{n+1}(R_n)$. It is a well known fact that under some mild moment assumptions this Markov chain has a unique stationary distribution. We are interested in the tail behaviour of this distribution in the case when $Ps{i}_0(t)approx{A}_{0}t+B_0$. We will show that under subexponential assumptions on the random variable $lo{g}^{+}(A_{0}vee{B}_0)$ the tail asymptotic in question can be described using the integrated tail function of $lo{g}^{+}(A_{0}vee{B}_0)$. In particular we will obtain new results for the random difference equation $R_{n+1}=A_{n+1}{R}_n+B_{n+1}$..

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