One-dimensional linear recursions with Markov-dependent coefficients

• 成果类型: Article
• 署名作者: Roitershtein, Alexander
• 署名单位: University of British Columbia
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051606000000844
• 发表日期: 2007
• 页码: 572-608
• 关键词: renewal theory; LIMIT-THEOREMS; equation; chains

摘要

For a class of stationary Markov-dependent sequences (A(n), B-n) is an element of R-2, we consider the random linear recursion S-n = A(n) + BnSn-1, n is an element of Z, and show that the distribution tail of its stationary solution has a power law decay.