Inverse exponential decay: stochastic fixed point equation and ARMA models (Q2325398)

This is a very recent and innovative article in the area of stochastic equations. The core theme of this paper is the stochastic fixed-point equation \(X \overset{d}{=} AX+B\). See the review [\textit{D. Buraczewski} et al., Stochastic models with power-law tails. The equation \(X=AX+B\). Cham: Springer (2016; Zbl 1357.60004)] for more details about this type of equation. The authors focus on the case where \(B\) is an inverse exponential decay random variable. The authors additionally provide theorems about the left tail of the random variable \(X\) (a topic hitherto not covered in depth) and autoregressive moving average with noise belonging to the inverse exponential decay class. The paper also investigates finite and infinite series of independent inverse exponential decay random variables and presents conditions to guarantee the almost certain convergence to an inverse exponential decay random variable in the case of infinite series.