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math.PR2016
On spectral gap properties and extreme value theory for multivariate affine stochastic recursions
Yves Guivarc'H, Emile Le Page
We consider a general multivariate affine stochastic recursion and the associated Markov chain on . We assume a natural geometric condition which implies existence o…
math.PR2016
Limit theorems for affine Markov walks conditioned to stay positive
Ion Grama, Ronan Lauvergnat, Émile Le Page
Consider the real Markov walk with increments defined by a stochastic recursion starting at . For a starting point …