On fixed points of Poisson shot noise transforms

DOI10.1239/AAP/1037990954MaRDI QIDQ4706207zbMATH OpenOpenAlexFDO

Authors Zbigniew J. Jurek, Alexander Iksanov

Publication date 9 November 2003

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0209015

zbMATH Keywords

shot noisestable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Renewal theory (60K05)

Abstract: Distributional fixed points of a Poisson shot noise transform (for nonnegative, nonincreasing response functions bounded by 1) are characterized. The tail behavior of fixed points is described. Typically they have either exponential moments or their tails are proportional to a power function, with exponent greater than -1. The uniqueness of fixed points is also discussed. Finally, it is proved that in most cases fixed points are absolutely continuous, apart from the possible atom at zero.

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