LIBROS DEL AUTOR: ewa damek

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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 (A_t,B_t) constitute an iid sequence, is provided. The classical theory for these equations, including the existence and...
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