Séminaire SPACE Tours

LIMIT THEOREMS FOR AFFINE MARKOV WALKS CONDITIONED TO STAY POSITIVE
Ion Grama (Université de Bretagne-Sud)
Friday 15 January 2016 11:00 -  Tours -  Salle 2100 (Bât E2)

Résumé :
Consider a real Markov walk with increments defined by a stochastic recursion. Let $\tau_y$ be the exit time from the positive part of the real line of this Markov walk with a starting point $y>0$. We investigate the asymptotic behavior of the probability that the exit time $\tau_y$ is larger than $n$ and of the law of the Markov walk conditioned to stay positive.

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