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On the invariant measure of the random difference equation Xn = AnXn−1 + Bn in the critical case

Sara BrofferioDariusz BuraczewskiEwa Damek — 2012

Annales de l'I.H.P. Probabilités et statistiques

We consider the autoregressive model on ℝ defined by the stochastic recursion = −1 + , where {( , )} are i.i.d. random variables valued in ℝ× ℝ+. The critical case, when 𝔼 [ log A 1 ] = 0 , was studied by Babillot, Bougerol and Elie, who proved that there exists a unique invariant Radon measure for the Markov chain { }. In the present paper we prove that the weak limit of properly dilated...

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