Tail of the stationary solution of the stochastic equation Yn+1=anYn+bn with Markovian coefficients

BenoI^te de Saporta,

Stochastic Processes and their Applications, 2005, vol. 115, issue 12, 1954-1978

Abstract: In this paper, we deal with the real stochastic difference equation , where the sequence (an) is a finite state space Markov chain. By means of the renewal theory, we give a precise description of the situation where the tail of its stationary solution exhibits power law behavior.

Keywords: Stochastic; difference; equation; Markov-switching; auto-regression; Markov; chains; Renewal; theory; Non-negative; matrices; Spectral; radius; Random; walk; Ladder; heights (search for similar items in EconPapers)
Date: 2005
References: View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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