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Stochastic Models with Power-Law Tails

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...