Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7549922 | Stochastic Processes and their Applications | 2018 | 29 Pages |
Abstract
We consider first passage times Ïu=inf{n:Yn>u} for the perpetuity sequence Yn=B1+A1B2+â¯+(A1â¦Anâ1)Bn,where (An,Bn) are i.i.d. random variables with values in R+ÃR. Recently, a number of limit theorems related to Ïu were proved including the law of large numbers, the central limit theorem and large deviations theorems (see Buraczewski et al., in press). We obtain a precise asymptotics of the sequence P[Ïu=loguâÏ], Ï>0, uââ which considerably improves the previous results of Buraczewski et al. (in press). There, probabilities P[ÏuâIu] were identified, for some large intervals Iu around ku, with lengths growing at least as loglogu. Remarkable analogies and differences to random walks (Buraczewski and MaÅlanka, in press; Lalley, 1984) are discussed.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
D. Buraczewski, E. Damek, J. Zienkiewicz,