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

Stochastic Processes and their Applications

Volumn 115, Issue 12, 2005, Pages 1954-1978

  De Saporta, Benoîte ^a  

^a UNIVERSITÉ DE RENNES 1   (France)

Author keywords

Ladder heights; Markov chains; Markov switching auto regression; Non negative matrices; Random walk; Renewal theory; Spectral radius; Stochastic difference equation

Indexed keywords

DIFFERENCE EQUATIONS; INFORMATION THEORY; MARKOV PROCESSES; MATRIX ALGEBRA;

MARKOV-SWITCHING AUTO-REGRESSION; NON-NEGATIVE MATRICES; RANDOM WALK; RENEWAL THEORY; SPECTRAL RADIUS; STOCHASTIC DIFFERENCE EQUATIONS;

RANDOM PROCESSES;

EID: 27644478343     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2005.06.009     Document Type: Article

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