One-dimensional linear recursions with Markov-dependent coefficients

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For a class of stationary Markov-dependent sequences $(A_n,B_n)\in\mathbb{R}^2,$ we consider the random linear recursion $S_n=A_n+B_nS_{n-1},$ $n\in\mathbb{Z},$ and show that the distribution tail of its stationary solution has a power law decay.
Published at http://dx.doi.org/10.1214/105051606000000844 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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Probability, 60K15 (Primary) 60K20 (Secondary)

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http://salesiana.dossiersoluciones.com/handle/123456789/126782

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0409335
 http://arxiv.org/abs/math/0409335
 Annals of Applied Probability 2007, Vol. 17, No. 2, 572-608
 doi:10.1214/105051606000000844

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