An extremal markovian sequence

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Abstract
In this paper we consider an independent and identically distributed sequence {Yn } with common distribution function F(x) and a random variable X 0, independent of the Yi 's, and define a Markovian sequence {Xn } as Xi = X 0, if i = 0, Xi = k max{Xi − 1, Yi }, if i ≧ 1, k ∈ R, 0 < k < 1. For this sequence we evaluate basic distributional formulas and give conditions on F(x) for the sequence to possess a stationary distribution. We prove that for any distribution function H(x) with left endpoint greater than or equal to zero for which log H(ex ) is concave it is possible to construct such a stationary sequence with marginal distributions equal to it. We study the limit laws for extremes and kth order statistics.

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