Limit theorems for discounted convergent perpetuities

DOI10.1214/21-EJP705zbMATH Open1483.60049arXiv2102.12216OpenAlexW3215563588MaRDI QIDQ2076602FDOQ2076602

Authors: Alexander Iksanov, A. V. Nikitin, I. V. Samoĭlenko 

Publication date: 22 February 2022

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: Let $(x{i}_1,et{a}_1)$, $(x{i}_2,et{a}_2),ldots$ be independent identically distributed $mathbb{R}^2$-valued random vectors. We prove a strong law of large numbers, a functional central limit theorem and a law of the iterated logarithm for convergent perpetuities $su{m}_{kgeq0}{b}^{x{i}_1+ldots+x{i}_k}et{a}_{k+1}$ as $bo1-$. Under the standard actuarial interpretation, these results correspond to the situation when the actuarial market is close to the customer-friendly scenario of no risk.

Full work available at URL: https://arxiv.org/abs/2102.12216

Recommendations

• Limit theorems for discounted convergent perpetuities. II
• Functional limit theorems for discounted exponential functional of random walk and discounted convergent perpetuity
• Functional limit theorems for divergent perpetuities in the contractive case
• Stability of perpetuities
• Statistical aspects of perpetuities

zbMATH Keywords

functional central limit theoremstrong law of large numberslaw of the iterated logarithmperpetuitycluster set

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

Cites Work

• Title not available (Why is that?)
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Brownian motion. With an appendix by Oded Schramm and Wendelin Werner
• A law of the iterated logarithm for geometrically weighted martingale difference sequences
• Strong approximation theorems for geometrically weighted random series and their applications
• Functional local law of the iterated logarithm for geometrically weighted random series.
• A law of the iterated logarithm for random geometric series
• A self-normalized law of the iterated logarithm for the geometrically weighted random series
• Title not available (Why is that?)
• The Discounted Central Limit Theorem and its Berry-Esseen Analogue
• Stability of perpetuities
• Summability Methods for Independent, Identically Distributed Random Variables
• Stochastic Models with Power-Law Tails
• Title not available (Why is that?)
• Present Value of a Renewal Process
• On intermediate levels of nested occupancy scheme in random environment generated by stick-breaking I
• Renewal theory for perturbed random walks and similar processes
• Stochastic Abelian and Tauberian theorems
• An infinite-dimensional helix invariant under spherical projections
• Law of the iterated logarithm for a random Dirichlet series
• Real zeros of random Dirichlet series
• Weak convergence of the number of vertices at intermediate levels of random recursive trees

Cited In (4)

• Functional limit theorems for discounted exponential functional of random walk and discounted convergent perpetuity
• Stability of perpetuities
• Limit theorems for discounted convergent perpetuities. II
• Functional limit theorems for divergent perpetuities in the contractive case

This page was built for publication: Limit theorems for discounted convergent perpetuities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2076602)