Null recurrence and transience of random difference equations in the contractive case
2017 ◽
Vol 54
(4)
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pp. 1089-1110
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Keyword(s):
Abstract Given a sequence (Mk, Qk)k ≥ 1 of independent and identically distributed random vectors with nonnegative components, we consider the recursive Markov chain (Xn)n ≥ 0, defined by the random difference equation Xn = MnXn - 1 + Qn for n ≥ 1, where X0 is independent of (Mk, Qk)k ≥ 1. Criteria for the null recurrence/transience are provided in the situation where (Xn)n ≥ 0 is contractive in the sense that M1 ⋯ Mn → 0 almost surely, yet occasional large values of the Qn overcompensate the contractive behavior so that positive recurrence fails to hold. We also investigate the attractor set of (Xn)n ≥ 0 under the sole assumption that this chain is locally contractive and recurrent.
2007 ◽
Vol 44
(04)
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pp. 1031-1046
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1997 ◽
Vol 34
(02)
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pp. 508-513
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1996 ◽
Vol 17
(1)
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pp. 88-100
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1972 ◽
Vol 13
(3-4)
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pp. 325-333
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Keyword(s):
1981 ◽
Vol 21
(4)
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pp. 302-306
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2002 ◽
Vol 34
(2)
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pp. 375-393
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Keyword(s):