Importance sampling of heavy-tailed iterated random functions

Bohan Chen, Chang-Han Rhee, Bert Zwart

We consider a stochastic recurrence equation of the form $Z_{n+1}=A_{n+1}{Z}_n+B_{n+1}$, where $\mathbb{E}[\log A_1]<0$, $\mathbb{E}[{\log }^{+}{B}_1]<\infty$ and $\{(A_n,B_n)\}_{n\in\m…