On the multidimensional stochastic equation $ {Y}_{n+1}={A}_{n}{Y}_{n}+{B}_{n}$

Benoîte de Saporta; Yves Guivarc'h; Emile Le Page

doi:10.1016/j.crma.2004.07.024

Probability Theory

On the multidimensional stochastic equation

Y_{n + 1} = A_{n} Y_{n} + B_{n}

Presented by: Yves Meyer

Benoîte de Saporta ¹ ; Yves Guivarc'h ¹ ; Emile Le Page ²

¹ IRMAR, université de Rennes I, campus de Beaulieu, 35042 Rennes cedex, France
² LMAM, université de Bretagne Sud, centre Yves Coppens, campus de Tohannic, BP 573, 56017 Vannes, France

Comptes Rendus. Mathématique, Volume 339 (2004) no. 7, pp. 499-502

Abstract (Original language)
Résumé

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.

On étudie le comportement à l'infini de la queue de la solution stationnaire d'un processus auto-régressif linéaire multidimensionnel à coefficients aléatoires. On donne une vaste classe de coefficients multiplicatifs vérifiant une condition d'irréductibilité et de proximalité qui conduisent à un comportement de type queue polynomiale.

Received: 2004-07-19
Accepted: 2004-07-23
Published online: 2004-09-28

DOI: 10.1016/j.crma.2004.07.024

Author's affiliations:

Benoîte de Saporta ¹ ; Yves Guivarc'h ¹ ; Emile Le Page ²

¹ IRMAR, université de Rennes I, campus de Beaulieu, 35042 Rennes cedex, France
² LMAM, université de Bretagne Sud, centre Yves Coppens, campus de Tohannic, BP 573, 56017 Vannes, France

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Benoîte de Saporta; Yves Guivarc'h; Emile Le Page. On the multidimensional stochastic equation $ {Y}_{n+1}={A}_{n}{Y}_{n}+{B}_{n}$. Comptes Rendus. Mathématique, Volume 339 (2004) no. 7, pp. 499-502. doi: 10.1016/j.crma.2004.07.024

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