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Stochastic Models with Power-Law Tails

The Equation X=AX+B

Stochastic Models with Power-Law Tails( )
Author: Buraczewski, Dariusz
Damek, Ewa
Mikosch, Thomas
Series title:Springer Series in Operations Research and Financial Engineering Ser.
ISBN:978-3-319-29678-4
Publication Date:Jul 2016
Publisher:Springer International Publishing AG
Imprint:Springer
Book Format:Hardback
List Price:USD $169.99USD $159.99
Book Description:

In this monograph the authors give a systematic approach to the probabilistic properties of the fixed point equation X=AX+B. A probabilistic study of the stochastic recurrence equation X_t=A_tX_{{t-1}}+B_t for real- and matrix-valued random variables A_t, where (A_t,B_t) constitute an iid sequence, is provided. The classical theory for these equations, including the existence and uniqueness of a stationary solution, the tail behavior with special emphasis on power law behavior,...
More Description

Book Details
Pages:320
Detailed Subjects: Mathematics / Probability & Statistics / Stochastic Processes
Physical Dimensions (W X L X H):6.045 x 9.165 Inches
Book Weight:13.792 Pounds



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