Functional limit theorems for discounted exponential functional of random walk and discounted convergent perpetuity

DOI10.1016/J.SPL.2021.109148MaRDI QIDQ2244477zbMATH OpenOpenAlexWikidataFDO

Authors Alexander Iksanov, Oleh Kondratenko

Publication date 12 November 2021

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2021.109148

zbMATH Keywords

exponential functions of random walkfunctional central limit theoremperpetuitystandard random walk

Mathematics Subject Classification ID

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

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• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• Present Value of a Renewal Process
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Cited in

(5)

• Limit theorems for discounted convergent perpetuities
• Functional limit theorems for divergent perpetuities in the contractive case
• Limit theorems for discounted convergent perpetuities. II
• scientific article; zbMATH DE number 1218125 (Why is no real title available?)
• Limit theorems for globally perturbed random walks

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