Tail estimates for stochastic fixed point equations via nonlinear renewal theory

Stochastic Processes and their Applications

Volumn 123, Issue 9, 2013, Pages 3378-3429

  Collamore, Jeffrey F ^a   Vidyashankar, Anand N ^b  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

^b Krasnow Institute for Advanced Study   (United States)

Author keywords

Cram r Lundberg theory with stochastic investments; Extremal index; GARCH processes; Geometric ergodicity; Harris recurrent; Large deviations; Letac's principle; Markov chains; Nonlinear renewal theory; Random recurrence equations; Slowly changing functions

Indexed keywords

EXTREMAL INDEX; GARCH PROCESS; GEOMETRIC ERGODICITY; HARRIS RECURRENT; LARGE DEVIATIONS; LETAC'S PRINCIPLE; RECURRENCE EQUATION; RENEWAL THEORY;

ITERATIVE METHODS; MARKOV PROCESSES; NONLINEAR ANALYSIS; STOCHASTIC SYSTEMS;

NONLINEAR EQUATIONS;

EID: 84878239683     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2013.04.015     Document Type: Article

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