Tail behavior of Markov-modulated generalized Ornstein-Uhlenbeck processes

Fuente: arXiv
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Autori principali: Alsmeyer, Gerold, Behme, Anita
Natura: Preprint
Pubblicazione: 2026
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author Alsmeyer, Gerold
Behme, Anita
author_facet Alsmeyer, Gerold
Behme, Anita
contents We study the tail behavior of Markov-modulated generalized Ornstein-Uhlenbeck processes -- that is, solutions to Langevin-type stochastic differential equations driven by a background continuous-time Markov chain. To this end, we consider a sequence of Markov modulated random affine functions $ Ψ_{n} : \mathbb{R} \to \mathbb{R} $, $ n \in \mathbb{N} $, and the associated iterated function system defined recursively by $ X_0^x := x $ and $ X_{n}^x := Ψ_{n-1}(X_{n-1}^x) $ for $ x \in \mathbb{R} $, $n \in \mathbb{N}$. We analyze the tail behavior of the stationary distribution of such a Markov chain using tools from Markov renewal theory. Our approach extends Goldie's implicit renewal theory~\cite{Goldie:91} and can be seen as an adaptation of Kesten's work on products of random matrices~\cite{Kesten:73} to the one-dimensional setting of random affine function systems. These results have applications in diverse areas of applied probability, including queueing theory, econometrics, mathematical finance, and population dynamics.
format Preprint
id arxiv_https___arxiv_org_abs_2601_09314
institution arXiv
publishDate 2026
record_format arxiv
spellingShingle Tail behavior of Markov-modulated generalized Ornstein-Uhlenbeck processes
Alsmeyer, Gerold
Behme, Anita
Probability
60H25, 60F15, 60K15, 60J25
We study the tail behavior of Markov-modulated generalized Ornstein-Uhlenbeck processes -- that is, solutions to Langevin-type stochastic differential equations driven by a background continuous-time Markov chain. To this end, we consider a sequence of Markov modulated random affine functions $ Ψ_{n} : \mathbb{R} \to \mathbb{R} $, $ n \in \mathbb{N} $, and the associated iterated function system defined recursively by $ X_0^x := x $ and $ X_{n}^x := Ψ_{n-1}(X_{n-1}^x) $ for $ x \in \mathbb{R} $, $n \in \mathbb{N}$. We analyze the tail behavior of the stationary distribution of such a Markov chain using tools from Markov renewal theory. Our approach extends Goldie's implicit renewal theory~\cite{Goldie:91} and can be seen as an adaptation of Kesten's work on products of random matrices~\cite{Kesten:73} to the one-dimensional setting of random affine function systems. These results have applications in diverse areas of applied probability, including queueing theory, econometrics, mathematical finance, and population dynamics.
title Tail behavior of Markov-modulated generalized Ornstein-Uhlenbeck processes
topic Probability
60H25, 60F15, 60K15, 60J25
url https://arxiv.org/abs/2601.09314