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Asymptotics of stationary solutions of multivariate stochastic recursions with heavy tailed inputs and related limit theorems
stationary solutions multivariate stochastic recursions related limit theorems
2010/11/12
Let $\Phi_n$ be an i.i.d. sequence of Lipschitz mappings of $\R^d$. We study the Markov chain $\{X_n^x\}_{n=0}^\8$ on $\R^d$ defined by the recursion $X_n^x = \Phi_n(X^x_{n-1})$, $n\ge 0$, $X_0=x\in\...
A generalized backwards scheme for solving non monotonic stochastic recursions
Stochastic recursions Stationary solutions Enriched probability space
2010/12/1
We propose an explicit construction of a stationary solution for a stochastic recursion of the form X ◦q = j(X) on a partially-ordered Polish space, when the monotonicity of j is not assumed. Un...