One-dimensional linear recursions with Markov-dependent coefficients
By Alexander Roitershtein. 2004
50 citations recorded by the source corpus.
For a class of stationary Markov-dependent sequences (A n ,B n ) ∈ R 2 , we consider the random linear recursion S n = A n + B n S n − 1 , n ∈ Z , and show that the distribution tail of its stationary solution has a power law decay.
Subfields: Management Science and Operations Research, Mathematical Physics
View Paper: https://www.semanticscholar.org/paper/74f8e43fc699dea86193e0954e6b4d16b728c422
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In Management Science and Operations Research
- Jess Benhabib
- Alberto Bisin
- Fulvio Castellacci
- Eric A. Hanushek
- Jesús Crespo Cuaresma
- Frédéric Docquier
- Robert E. Lucas
In Mathematical Physics
Citations in the corpus
- Skewed Wealth Distributions: Theory and Empirics (2018, methodology): “…shocks, so that Pr(( r t − ψ) < 0) > 0, and without borrowing constraints, Kesten processes induce a two-sided Pareto distribution, lim ̄ w→∞ Pr(w > ̄ w) ̄ w α = C 1 , lim ̄ w→∞ Pr(w < − ̄ w) ̄ w α = C 2 , with C 1 = C 2 > 0 under regularity assumptions (see Roitershtein 2007, theorem 1.6).”
- The distribution of wealth and …scal policy in economies with …nitely lived agents (2008, unknown): “By using some new results in the mathematics of stochastic processes (due to Saporta, 2004 and 2005, and to Roitershtein, 2007) we are able to show that even in this case the stationary wealth distribution has a Pareto tail, and to compute the e¤ects of social mobility on the tail analytically.”