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Список литературы
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1. |
Buraczewski D., Damek E., Mikosch T., Stochastic Models with Power-Law Tails: The Equation $X = AX + B$, Springer, 2016 |
2. |
Kesten H., “Random difference equations and renewal theory for products of random matrices”, Acta Math., 51:1 (1973), 207–248 |
3. |
Goldie C., “Implicit renewal theory and tails of solutions of random equations”, Ann. Appl. Probab., 1:1 (1991), 126–166 |
4. |
Engle R.F., “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United”, Econometrica, 50:4 (1982), 987–1000 |
5. |
Alsmeyer G., Iksanov A., “A log-type moment result for perpetuities and its application to martingales in supercritical branching random walks”, Electr. J. Probab., 14 (2009), 289–313 |
6. |
Buraczewski D., Damek E., Mikosch T., Zienkiewicz J., “Large deviations for solutions to stochastic recurrence equations under Kesten's condition”, Ann. Probab., 41 (2013), 2755–2790 |
7. |
Konstantinides D. G., Mikosch T., “Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations”, Ann. Probab., 33:5 (2005), 1992–2035 |
8. |
A.V. Shklyaev, “Large deviations for solution of random recurrence equation”, Markov Processes and Related Fields, 22:1 (2016), 139–164 |
9. |
Боровков А.А., Теория вероятностей, URSS, 2009, 652 с. |