Abstract
For a class of stationary Markov-dependent sequences (An, Bn)∈ℝ2, we consider the random linear recursion Sn=An+BnSn−1, n∈ℤ, and show that the distribution tail of its stationary solution has a power law decay.
Citation
Alexander Roitershtein. "One-dimensional linear recursions with Markov-dependent coefficients." Ann. Appl. Probab. 17 (2) 572 - 608, April 2007. https://doi.org/10.1214/105051606000000844
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