E-Book, Englisch, 320 Seiten, eBook
Reihe: Springer Series in Operations Research and Financial Engineering
The Equation X = AX + B
E-Book, Englisch, 320 Seiten, eBook
Reihe: Springer Series in Operations Research and Financial Engineering
ISBN: 978-3-319-29679-1
Verlag: Springer International Publishing
Format: PDF
Kopierschutz: Wasserzeichen (»Systemvoraussetzungen)
The text gives an introduction to the Kesten-Goldie theory for stochastic recurrence equations of the type X_t=A_tX_{t-1}+B_t. It provides the classical results of Kesten, Goldie, Guivarc'h, and others, and gives an overview of recent results on the topic. It presents the state-of-the-art results in the field of affine stochastic recurrence equations and shows relations with non-affine recursions and multivariate regular variation.
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
Introduction.- The Univariate Case.- Univariate Limit Theoru.- Multivariate Case.- Miscellanea.- Appendices.