Random difference equations: An asymptotical result
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Let \(X_i\) \((i\geq 1)\) be i.i.d. random variables with values in \([0,1]\) and density \(\alpha x^{\alpha-1}\) for some \(\alpha>0\). The authors prove that the recursively defined random variables \(U_n\) with \(U_1=X_1\) and \(U_n=X_n (1+U_{n-1})\) converge in distribution with an explicit limit distribution. Applications to pseudorandom numbers and shot noise are also discussed.
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Cites work
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Cited in
(14)- The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case
- Random difference equations with logarithmic distribution and the triggered shot noise
- A case of a random difference equation connected with a filtered binary process
- An elliptic Harnack inequality for difference equations with random balanced coefficients
- SOME PROPERTIES OF A RANDOM LINEAR DIFFERENCE EQUATION1
- Recursive random variables with subgaussian distributions
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- Implicit Linear Nonhomogeneous Difference Equation over ℤ with a Random Right-Hand Side
- The Dynamics of Random Difference Equations Is Remodeled by Closed Relations
- On a Theorem of Breiman and a Class of Random Difference Equations
- Convergence to type I distribution of the extremes of sequences defined by random difference equation
- Almost sure local limit theorem for the Dickman distribution
- Simulating the Dickman distribution
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