Large excursions and conditioned laws for recursive sequences generated by random matrices

Jeffrey F. Collamore, Sebastian Mentemeier

We determine the large exceedance probabilities and large exceedance paths for the matrix recursive sequence $V_n=M_n{V}_{n-1}+Q_n,n=1,2,\dots ,$ where $\{M_n\}$ is an i.i.d…