Stochastic Models with Power-Law Tails [electronic resource] The Equation X = AX + B / by Dariusz Buraczewski, Ewa Damek, Thomas Mikosch.

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...

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