TITLE: linear recurrence relations with random coefficients
QUESTION [8 upvotes]: Are there such things as recurrence equations with random variable coefficients. For example, $$W_n=W_{n-1}+F\cdot W_{n-1}$$ where $F$ is a random variable. I tried to see if I could make sense of it using the simplest possible case of $F$ being a uniform discrete random variable on 2 points but I didn't get far because even if the initial data is not random the succeeding terms in the sequence are and each term seems to live on a different space. I couldn't figure out what space $W_n$ and $W_{n-1}$ should live on. A google search turned up nothing for the obvious keywords "random recurrence equation".
Edit in response to Alekk's answer: More specifically suppose I wanted to find the probability $P(W_{200}>3000)$. Is there a way to compute the distribution of $W_{200}$ explicitly given the distribution of $F$ and some non-random initial data $W_0$?
Edit: $F$ does not depend on $n$ and to make things even more explicit lets say $F$ has the distribution $P(F=2f)=\dfrac{1}{2}, P(F=-f)=\dfrac{1}{2}$.

REPLY [2 votes]: There are such things as probabilistic recurrence relations that come up in the analysis of randomized algorithms. The recurrence form is slightly different to the way you phrase it: rather than the coefficients of the recurrence being random, it's the "jump" itself that can be random. For example, a protoptypical example would be 
$T(n) = T(H(n)) + f(n)$, 
where H(n) is a random function of n (i.e a random variable that takes n as input and returns some random number less than n), and f(n) is some (deterministic) function. 
Richard Karp first studied these recurrences in a classic paper, and there was later followup work by Chaudhari and Dubhashi.