Add to ORKGWe consider the equation Rn=Qn+MnRn-1, with random non-i.i.d. coefficients , and show that the distribution tails of the stationary solution to this equation are regularly varying at infinity.Stochastic difference equations Regular variation Markov models Chains with complete connections Regenerative structure
Abstract. We establish the equivalence between the multivariate regular variation of a random vector...
A Markov tree is a random vector indexed by the nodes of a tree whose distribution is determined by ...
AbstractIn this paper we study the distributional tail behavior of the solution to a linear stochast...
We study a linear recursion with random Markov-dependent coefficients. In a "regular variation in, r...
Random recurrence relations are stochastic difference equations, which define recursively a sequence...
In this monograph the authors give a systematic approach to the probabilistic properties of the fixe...
AbstractIn this paper, we deal with the real stochastic difference equation Yn+1=anYn+bn,n∈Z, where ...
AbstractWe prove both geometric ergodicity and regular variation of the stationary distribution for ...
The extremes of a univariate Markov chain with regulary varying stationary marginal distribution and...
The extremes of a univariate Markov chain with regulary varying stationary marginal distribution and...
We develop sharp large deviation asymptotics for the probability of ruin in a Markov-dependent stoch...
Consider the series ¿n CnZn where Zn are iid -valued random vectors and Cn are random matrices indep...
We establish the equivalence between the multivariate regular variation of a random vector and the u...
AbstractLet Φn be an i.i.d. sequence of Lipschitz mappings of Rd. We study the Markov chain {Xnx}n=0...
The upper extremes of a Markov chain with regulary varying stationary marginal distribution are know...
Abstract. We establish the equivalence between the multivariate regular variation of a random vector...
A Markov tree is a random vector indexed by the nodes of a tree whose distribution is determined by ...
AbstractIn this paper we study the distributional tail behavior of the solution to a linear stochast...
We study a linear recursion with random Markov-dependent coefficients. In a "regular variation in, r...
Random recurrence relations are stochastic difference equations, which define recursively a sequence...
In this monograph the authors give a systematic approach to the probabilistic properties of the fixe...
AbstractIn this paper, we deal with the real stochastic difference equation Yn+1=anYn+bn,n∈Z, where ...
AbstractWe prove both geometric ergodicity and regular variation of the stationary distribution for ...
The extremes of a univariate Markov chain with regulary varying stationary marginal distribution and...
The extremes of a univariate Markov chain with regulary varying stationary marginal distribution and...
We develop sharp large deviation asymptotics for the probability of ruin in a Markov-dependent stoch...
Consider the series ¿n CnZn where Zn are iid -valued random vectors and Cn are random matrices indep...
We establish the equivalence between the multivariate regular variation of a random vector and the u...
AbstractLet Φn be an i.i.d. sequence of Lipschitz mappings of Rd. We study the Markov chain {Xnx}n=0...
The upper extremes of a Markov chain with regulary varying stationary marginal distribution are know...
Abstract. We establish the equivalence between the multivariate regular variation of a random vector...
A Markov tree is a random vector indexed by the nodes of a tree whose distribution is determined by ...
AbstractIn this paper we study the distributional tail behavior of the solution to a linear stochast...