Slowly Varying Asymptotics for Signed Stochastic Difference Equations
Slowly Varying Asymptotics for Signed Stochastic Difference Equations
For a stochastic difference equation Dn = AnDnā1 + Bn which stabilises upon time we study tail distribution asymptotics for Dn under the assumption that the distribution of \(\log (1+|A_1|+|B_1|)\) is heavy-tailed, that is, all its positive exponential moments are infinite. The aim of the present paper is three-fold. Firstly, ā¦