Stochastic Models with Power-Law Tails The Equation X = AX + B /

• Main Authors: Buraczewski, Dariusz (Author), Damek, Ewa (Author), Mikosch, Thomas (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2016.
• Series: Springer Series in Operations Research and Financial Engineering,
• Subjects: Mathematics.; Probabilities.; Statistics.; Economic theory.; Probability Theory and Stochastic Processes.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Economic Theory/Quantitative Economics/Mathematical Methods.

In this monograph the authors give a systematic approach to the probabilistic properties of the fixed point equation X=AX+B. A probabilistic study of the stochastic recurrence equation X_t=A_tX_{t-1}+B_t for real- and matrix-valued random variables A_t, where (A_t,B_t) constitute an iid sequence, is...