One-dimensional linear recursions with Markov-dependent coefficients

Authors
Roitershtein, Alexander
Citation
Roitershtein, Alexander, One-dimensional linear recursions with Markov-dependent coefficients, Annals of applied probability , 17(2), 2007, pp. 572-608
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
17
Issue
2
Year of publication
2007
Pages
572 - 608
Database
ACNP
SICI code
Abstract
For a class of stationary Markov-dependent sequences (An,.Bn)..2, we consider the random linear recursion Sn=An+BnSn.1, n.., and show that the distribution tail of its stationary solution has a power law decay.