Renorming divergent perpetuities

DOI10.3150/10-BEJ297zbMath1232.60017arXiv1107.2753MaRDI QIDQ638760

Jacek Wesołowski, Pawel Hitczenko

Publication date: 14 September 2011

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.2753

zbMATH Keywords

convergence in distribution; perpetuity

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60G50: Sums of independent random variables; random walks

Related Items

RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS, Null recurrence and transience of random difference equations in the contractive case, Distribution tails of a history-dependent random linear recursion, Random difference equations with subexponential innovations, A renewal theorem and supremum of a perturbed random walk, Exact long time behavior of some regime switching stochastic processes, On the maximum of a perturbed random walk, Power and exponential moments of the number of visits and related quantities for perturbed random walks, Convergence to the maximum process of a fractional Brownian motion with shot noise, Interplay of insurance and financial risks in a discrete-time model with strongly regular variation, Divergent Perpetuities Modulated by Regime Switches

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