Renorming divergent perpetuities
From MaRDI portal
Publication:638760
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
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
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Implicit renewal theory and tails of solutions of random equations
- On distributional properties of perpetuities
- Perpetuities with thin tails revisited
- Extremes and related properties of random sequences and processes
- Random difference equations and renewal theory for products of random matrices
- Regular variation in the tail behaviour of solutions of random difference equations
- Limit distributions for products of sums.
- Asymptotics for products of sums and \(U\)-statistics
- A note on the invariance principle of the product of sums of random variables
- On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
- SOME PROPERTIES OF A RANDOM LINEAR DIFFERENCE EQUATION1
- Bursting Oscillations Induced by Small Noise
- On the Continuity of the Distribution of a Sum of Dependent Variables Connected with Independent Walks on Lines
- Hoare's Selection Algorithm: A Markov Chain Approach
- Limit laws for a stochastic process and random recursion arising in probabilistic modelling
- Perpetuities with thin tails
- Perpetuities and asymptotic change-point analysis