Large deviations of branching process in~a~random environment
Diskretnaya Matematika, Tome 31 (2019) no. 4, pp. 102-115.

Voir la notice de l'article provenant de la source Math-Net.Ru

In this first part of the paper we find the asymptotic formulas for the probabilities of large deviations of the sequence defined by the random difference equation $Y_{n+1}=A_{n} Y_n + B_n$, where $A_1,A_2,\ldots$ are independent identically distributed random variables and $B_n$ may depend on $\{(A_k,B_k),0\leqslant k$ for any $n\geqslant1$. In the second part of the paper this results are applied to the large deviations of branching processes in a random environment.
Keywords: random difference equations, probabilities of large deviations, branching processes in a random environment } \classification[Funding]{The study was supported by the Russian Science Foundation (project 19-11-00111) in the Steklov Mathematical Institute of Russian Academy of Sciences.
@article{DM_2019_31_4_a6,
     author = {A. V. Shklyaev},
     title = {Large deviations of branching process in~a~random environment},
     journal = {Diskretnaya Matematika},
     pages = {102--115},
     publisher = {mathdoc},
     volume = {31},
     number = {4},
     year = {2019},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/DM_2019_31_4_a6/}
}
TY  - JOUR
AU  - A. V. Shklyaev
TI  - Large deviations of branching process in~a~random environment
JO  - Diskretnaya Matematika
PY  - 2019
SP  - 102
EP  - 115
VL  - 31
IS  - 4
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/DM_2019_31_4_a6/
LA  - ru
ID  - DM_2019_31_4_a6
ER  - 
%0 Journal Article
%A A. V. Shklyaev
%T Large deviations of branching process in~a~random environment
%J Diskretnaya Matematika
%D 2019
%P 102-115
%V 31
%N 4
%I mathdoc
%U http://geodesic.mathdoc.fr/item/DM_2019_31_4_a6/
%G ru
%F DM_2019_31_4_a6
A. V. Shklyaev. Large deviations of branching process in~a~random environment. Diskretnaya Matematika, Tome 31 (2019) no. 4, pp. 102-115. http://geodesic.mathdoc.fr/item/DM_2019_31_4_a6/

[1] Buraczewski D., Damek E., Mikosch T., Stochastic Models with Power-Law Tails: The Equation $X = AX + B$, Springer, 2016 | MR | Zbl

[2] Kesten H., “Random difference equations and renewal theory for products of random matrices”, Acta Math., 51:1 (1973), 207–248 | DOI | MR

[3] Goldie C., “Implicit renewal theory and tails of solutions of random equations”, Ann. Appl. Probab., 1:1 (1991), 126–166 | DOI | MR | Zbl

[4] Engle R.F., “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United”, Econometrica, 50:4 (1982), 987–1000 | DOI | MR

[5] Alsmeyer G., Iksanov A., “A log-type moment result for perpetuities and its application to martingales in supercritical branching random walks”, Electr. J. Probab., 14 (2009), 289–313 | DOI | MR | Zbl

[6] Buraczewski D., Damek E., Mikosch T., Zienkiewicz J., “Large deviations for solutions to stochastic recurrence equations under Kesten's condition”, Ann. Probab., 41 (2013), 2755–2790 | DOI | MR | Zbl

[7] Konstantinides D. G., Mikosch T., “Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations”, Ann. Probab., 33:5 (2005), 1992–2035 | DOI | MR | Zbl

[8] A.V. Shklyaev, “Large deviations for solution of random recurrence equation”, Markov Processes and Related Fields, 22:1 (2016), 139–164 | MR | Zbl

[9] Borovkov A.A., Teoriya veroyatnostei, URSS, 2009, 652 pp.