46 citations · 46 across the 2 of their papers we have counts for
2 papers
math.PR2011
Tail estimates for stochastic fixed point equations via nonlinear renewal theory
Jeffrey F. Collamore, Anand N. Vidyashankar
This paper presents precise large deviation estimates for solutions to stochastic fixed point equations of the type V =_d f(V), where f(v) = Av + g(v) for a random function g(v) =…
math.PR2009★ 46 cited
Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
Jeffrey F. Collamore
We develop sharp large deviation asymptotics for the probability of ruin in a Markov-dependent stochastic economic environment and study the extremes for some related Markovian pro…