Relative growth of the partial sums of certain random Fibonacci-like sequences

DOI10.1080/10236198.2017.1378353MaRDI QIDQ3133508zbMATH OpenOpenAlexFDO

Authors Alexander Roitershtein, Zirou Zhou

Publication date 2 February 2018

Published in Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1709.04936

zbMATH Keywords

Lyapunov constantMarkov chainsrandom linear recursionsregeneration structuretail asymptotic

Mathematics Subject Classification ID

Random operators and equations (aspects of stochastic analysis) (60H25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Abstract: We consider certain Fibonacci-like sequences $(X_n{)}_{ngeq0}$ perturbed with a random noise. Our main result is that $frac1X_{n}su{m}_{k=0}^{n-1}{X}_k$ converges in distribution, as $n$ goes to infinity, to a random variable $W$ with Pareto-like distribution tails. We show that $s=li{m}_{xoinfty}frac-logP(W>x)logx$ is a monotonically decreasing characteristic of the input noise, and hence can serve as a measure of its strength in the model. Heuristically, the heavy-taliped limiting distribution, versus a light-tailed one with $s=+infty,$ can be interpreted as an evidence supporting the idea that the noise is "singular" in the sense that it is "big" even in a "slightly" perturbed sequence.

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(1)

• scientific article; zbMATH DE number 2228550 (Why is no real title available?)

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