Heavy tails for an alternative stochastic perpetuity model

DOI10.1016/j.spa.2018.12.008zbMath1448.60115arXiv1703.07272OpenAlexW2618793811MaRDI QIDQ2010493

Olivier Wintenberger, Thomas Mikosch, Mohsen Rezapour

Publication date: 27 November 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.07272

zbMATH Keywords

large deviationchange of measureheavy tailperpetuitypower-law tailKesten-Goldie theory

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)

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