42 research outputs found
Precise tail asymptotics of fixed points of the smoothing transform with general weights
We consider solutions of the stochastic equation ,
where is a fixed constant, are independent, identically distributed
random variables and are independent copies of , which are independent
both from 's and . The hypotheses ensuring existence of solutions are
well known. Moreover under a number of assumptions the main being
and , the
limit exists. In the present
paper, we prove positivity of .Comment: Published at http://dx.doi.org/10.3150/13-BEJ576 in the Bernoulli
(http://isi.cbs.nl/bernoulli/) by the International Statistical
Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm
Large deviations for solutions to stochastic recurrence equations under Kesten's condition
In this paper we prove large deviations results for partial sums constructed
from the solution to a stochastic recurrence equation. We assume Kesten's
condition [Acta Math. 131 (1973) 207-248] under which the solution of the
stochastic recurrence equation has a marginal distribution with power law
tails, while the noise sequence of the equations can have light tails. The
results of the paper are analogs to those obtained by A. V. Nagaev [Theory
Probab. Appl. 14 (1969) 51-64; 193-208] and S. V. Nagaev [Ann. Probab. 7 (1979)
745-789] in the case of partial sums of i.i.d. random variables. In the latter
case, the large deviation probabilities of the partial sums are essentially
determined by the largest step size of the partial sum. For the solution to a
stochastic recurrence equation, the magnitude of the large deviation
probabilities is again given by the tail of the maximum summand, but the exact
asymptotic tail behavior is also influenced by clusters of extreme values, due
to dependencies in the sequence. We apply the large deviation results to study
the asymptotic behavior of the ruin probabilities in the model.Comment: Published in at http://dx.doi.org/10.1214/12-AOP782 the Annals of
Probability (http://www.imstat.org/aop/) by the Institute of Mathematical
Statistics (http://www.imstat.org
Convergence to stable laws for multidimensional stochastic recursions: the case of regular matrices
Given a sequence of i.i.d.\ random variables with
generic copy , we consider the random
difference equation (RDE) , and assume
the existence of such that \lim_{n \to \infty}(\E{\norm{M_1 ...
M_n}^\kappa})^{\frac{1}{n}} = 1 . We prove, under suitable assumptions, that
the sequence , appropriately normalized, converges in
law to a multidimensional stable distribution with index . As a
by-product, we show that the unique stationary solution of the RDE is
regularly varying with index , and give a precise description of its
tail measure. This extends the prior work http://arxiv.org/abs/1009.1728v3 .Comment: 15 page
Anderson localisation in steady states of microcavity polaritons
We present an experimental signature of the Anderson localisation of
microcavity polaritons, and provide a systematic study of the dependence on
disorder strength. We reveal a controllable degree of localisation, as
characterised by the inverse-participation ratio, by tuning the positional
disorder of arrays of interacting mesas. This constitutes the realisation of
disorder-induced localisation in a driven-dissipative system. In addition to
being an ideal candidate for investigating localisation in this regime,
microcavity polaritons hold promise for low-power, ultra-small devices and
their localisation could be used as a resource in quantum memory and quantum
information processing.Comment: 7 pages, 3 figure