Limit theorems for discounted convergent perpetuities. II

DOI10.1214/23-EJP907MaRDI QIDQ2685145zbMATH OpenWikidataFDO

Authors Alexander Iksanov, Alexander Marynych, A. V. Nikitin

Publication date 19 February 2023

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

Full work available at URL https://arxiv.org/abs/2208.01609, https://projecteuclid.org/journals/electronic-journal-of-probability/volume-28/issue-none/Limit-theorems-for-discounted-convergent-perpetuities-II/10.1214/23-EJP907.full

zbMATH Keywords

exponential functional of Brownian motionfunctional central limit theoremlaw of the iterated logarithmperpetuity

Mathematics Subject Classification ID

Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Sums of independent random variables; random walks (60G50) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Recommendations

• Limit theorems for discounted convergent perpetuities
• Functional limit theorems for discounted exponential functional of random walk and discounted convergent perpetuity
• Limit theorems for discounted sums of random vectors with a varying discount matrix
• Functional limit theorems for divergent perpetuities in the contractive case
• Stability of perpetuities

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Cited in

(8)

• Stability of perpetuities
• Limit theorems for discounted convergent perpetuities
• Functional limit theorems for discounted exponential functional of random walk and discounted convergent perpetuity
• Conditions for convergence of random coefficient \(\mathrm{AR}(1)\) processes and perpetuities in higher dimensions
• Functional limit theorems for divergent perpetuities in the contractive case
• On some limit theorems for sums and products of random variables
• Limit theorems for discounted convergent perpetuities II
• Haldane's asymptotics for supercritical branching processes in an iid random environment

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