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Abstract We study solution of the stochastic equation where A is a random matrix and B, X are random vectors, the law of (A, B) is given and X is… Click to show full abstract
Abstract We study solution of the stochastic equation 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 upper triangular, , . A sharp asymptotics of the tail of is obtained. We show that under ‘so called’ Kesten–Goldie conditions and , where or .
Keywords:
triangular matrices;
stochastic equation;
affine stochastic;
equation;
equation triangular
Journal Title: Journal of Difference Equations and Applications
Year Published: 2018
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Journal Title: Journal of Difference Equations and Applications
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!