Tail behavior of laws stable by random weighted mean

DOI10.1016/J.CRMA.2011.01.029MaRDI QIDQ2431141zbMATH OpenOpenAlexFDO

Authors Xingang Liang, Quansheng Liu

Publication date 11 April 2011

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2011.01.029

zbMATH Keywords

fixed pointregular variationsmoothing transformtail behaviour

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Review text

Let \((W_n)_{n\geq 0}\) be the intrinsic martingale related to a supercritical branching random walk. Assuming that the martingale is uniformly integrable denote by \(W\) its \(L_1\)-limit. The present article provides two results concerning the tail behaviour of \(W\). Theorem 1.1 states that, under a side condition, the regular variation of \(P\{W_1>x\}\) is equivalent to the regular variation of \(P\{W>x\}\). This is a generalization of previously known results obtained by \textit{N. H. Bingham} and \textit{R. A. Doney} [Adv. Appl. Probab. 6, 711--731 (1974; Zbl 0297.60044)] and \textit{A. de Meye} [J. Appl. Probab. 19, 217--220 (1982; Zbl 0481.60077)] for Galton-Watson processes, by \textit{N. H. Bingham} and \textit{R. A. Doney} [Adv. Appl. Probab. 7, 66--82 (1975; Zbl 0308.60049)] for Crump-mode and Jirina processes and by \textit{A. Iksanov} and \textit{S. Polotskiy} [Theory Stoch. Process. 12, No.~28, Part~1--2, 38--54 (2006; Zbl 1142.60340)] for branching random walks. Following the approach developed in the first three cited papers the proof of Theorem 1.1 is based on using Abel-Tauberian theorems for Laplace transforms. Theorem 1.2 gives information on the asymptotic behaviour of \(EW1_{\{W>x\}}\) under the assumption that \(EW_11_{\{W_1>x\}}\) is slowly varying.

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Cites work

• An Abel-Tauber Theorem for Laplace Transforms
• Asymptotic properties of super-critical branching processes II: Crump-Mode and Jirina processes
• Asymptotic properties of supercritical branching processes I: The Galton-Watson process
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• On a theorem of bingham and doney
• On generalized multiplicative cascades
• On the asymptotic behaviour of the distributions of the busy period and service time in M/G/1
• Regular variation in the branching random walk

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(8)

• Weighted sums of random variables attracted to stable laws
• Stable-like fluctuations of Biggins' martingales
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