Logarithmic tails of sums of products of positive random variables bounded by one

Abstract: In this paper we show under weak assumptions that for

R s t a c k r e l d = 1 + M_{1} + M_{1} M_{2} + l d o t s

, where

P (M i n [0, 1]) = 1

and

M_{i}

are independent copies of

M

, we have

l n P (R > x) s i m C, x l n P (M > 1 - f r a c 1 x)

as

x o i n f t y

. The constant

C

is given explicitly and its value depends on the rate of convergence of

l n P (M > 1 - f r a c 1 x)

. Random variable

R

satisfies the stochastic equation

R s t a c k r e l d = 1 + M R

with

M

and

R

independent, thus this result fits into the study of tails of iterated random equations, or more specifically, of perpetuities.

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