Tail behavior of stationary solutions of random difference equations: the case of regular matrices
Abstract
Given a sequence $(M_{n},Q_{n})_{n\ge 1}$ of i.i.d. random variables with generic copy $(M,Q)$ such that $M$ is a regular $d\times d$ matrix and $Q$ takes values in $\mathbb{R}^{d}$, we consider the random difference equation (RDE) $R_{n}=M_{n}R_{n1}+Q_{n}$, $n\ge 1$. Under suitable assumptions, this equation has a unique stationary solution $R$ such that, for some $\kappa>0$ and some finite positive and continuous function $K$ on $S^{d1}:=\{x \in \mathbb{R}^{d}:x=1\}$, $ \lim_{t \to \infty} t^{\kappa} P(xR>t)=K(x)$ for all $x \in S^{d1} $ holds true. This result is originally due to Kesten and Le Page. The purpose of this article is to show how regeneration methods can be used to provide a much shorter argument (in particular for the positivity of K). It is based on a multidimensional extension of Goldie's implicit renewal theory.
 Publication:

arXiv eprints
 Pub Date:
 September 2010
 arXiv:
 arXiv:1009.1728
 Bibcode:
 2010arXiv1009.1728A
 Keywords:

 Mathematics  Probability
 EPrint:
 Journal of Difference Equations and Applications: Volume 18, Issue 8 (2012) pp. 13051332