Iterated random functions and slowly varying tails
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Publication:901296
DOI10.1016/j.spa.2015.09.005zbMath1329.60253arXiv1408.1658OpenAlexW2963850737MaRDI QIDQ901296
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
subexponential distributionsMarkov chainstationary distributionrandom difference equationstochastic recursionsrandom Lipschitz functions
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Random operators and equations (aspects of stochastic analysis) (60H25)
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Branching processes with immigration in atypical random environment ⋮ On beta distributed limits of iterated linear random functions ⋮ Revisiting the product of random variables ⋮ Interplay of insurance and financial risks in a stochastic environment ⋮ Random difference equations with subexponential innovations ⋮ On perpetuities with gamma-like tails ⋮ Iterated random functions and regularly varying tails ⋮ A simple proof of heavy tail estimates for affine type Lipschitz recursions ⋮ Importance sampling of heavy-tailed iterated random functions ⋮ On perpetuities with light tails ⋮ Stochastic recursions: between Kesten's and Grincevičius-Grey's assumptions ⋮ Slowly varying asymptotics for signed stochastic difference equations ⋮ Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
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