A simple method to find all solutions to the functional equation of the smoothing transform (Q2100009)
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English | A simple method to find all solutions to the functional equation of the smoothing transform |
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A simple method to find all solutions to the functional equation of the smoothing transform (English)
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21 November 2022
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Let \(T = (T_j)_{j\geq 1}\) be a nonincreasing null sequence of nonnegative random variables such that there exists a positive \(\alpha\) such that \(\mathbb{E}(\sum_{j}T_{j}^{\alpha})=1\) holds. The main aim of this paper is to consider in this setup the functional equation \[ f(t)= \mathbb{E}\left(\prod_{j\geq 0} f(t T_{j})\right) \qquad \left(t\geq 0\right). \] The second section of the paper contains some known preliminary results, basically in connection with the classical branching random walk (e.g., a many-to-one lemma and results about stopping lines). Then they prove a Choquet-Deny-type result asserting that any right-continuous and at most linearly growing harmonic function of a centered random walk killed upon entering \([0, +\infty[\), equals the Tanaka solution up to a constant, or a periodic function in the lattice case. Finally, the authors close the paper with the description of a one-to-one connection between the solutions of \[ X = \sum_{j\geq 1}T_{j}X_{j} \] and certain fractal random measures on the boundary of the weighted tree related to the branching random walk .
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stochastic fixed-point equation
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distributional fixed point
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smoothing transform
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branching random walk
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multiplicative martingales
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Choquet-Deny-type lemma
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fractal random measure
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disintegration
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many-to-one lemma
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