التفاصيل البيبلوغرافية
| العنوان: |
Affine stochastic equation with triangular matrices |
| المؤلفون: |
Damek, Ewa, Zienkiewicz, Jacek |
| المصدر: |
Journal of Difference Equations and Applications, 2018 |
| سنة النشر: |
2018 |
| المجموعة: |
Mathematics |
| مصطلحات موضوعية: |
Mathematics - Probability |
| الوصف: |
We study solution X of the stochastic equation X = AX +B, where A is a random matrix and B,X are random vectors, the law of (A,B) is given and X is independent of (A,B). The equation is meant in law, the matrix A is 2x2 upper triangular, A_{11}=A_{22}>0, A_{12} is real. A sharp asymptotics of the tail of X =(X _1,X_2) is obtained. We show that under "so called" Kesten-Goldie conditions P (X_2>t)\sim t^{-a} and P (X_1>t )\sim t^{-a}(\log t)^b, where b =a or a\2. |
| نوع الوثيقة: |
Working Paper |
| DOI: |
10.1080/10236198.2017.1422249. |
| URL الوصول: |
http://arxiv.org/abs/1806.08985 |
| رقم الانضمام: |
edsarx.1806.08985 |
| قاعدة البيانات: |
arXiv |