On the multidimensional stochastic equation Yn+1 = AnYn+Bn

被引：16
作者：
de Saporta, B
Guivarc'h, Y
Le Page, E
机构：
[1] Univ Rennes 1, IRMAR, F-35042 Rennes, France
[2] Univ Bretagne Sud, Ctr Yves Coppens, F-56017 Vannes, France
来源：
COMPTES RENDUS MATHEMATIQUE | 2004年 / 339卷 / 07期
关键词：
D O I：
10.1016/j.crma.2004.07.024
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We study the behavior at infinity of the tail of the stationary solution of a multidimensional linear auto-regressive process with random coefficients. We exhibit an extended class of multiplicative coefficients satisfying a condition of irreducibility and proximality that yield to a heavy tail behavior.
引用
收藏
页码：499 / 502
页数：4
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