Precise tail index of fixed points of the two-sided smoothing transform

DOI10.1007/978-3-642-38806-4_10MaRDI QIDQ2863578zbMATH OpenOpenAlexFDO

Authors Gerold Alsmeyer, Ewa Damek, Sebastian Mentemeier

Publication date 22 November 2013

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1206.3970

zbMATH Keywords

smoothing transformsdistributed fixed-point equationsprecise tail index

Mathematics Subject Classification ID

Random operators and equations (aspects of stochastic analysis) (60H25)

Abstract: We consider real-valued random variables R satisfying the distributional equation R eqdist sum_{k=1}^{N}T_k R_k + Q, where R_1,R_2,... are iid copies of R and independent of T=(Q, (T_k)_{k ge 1}). N is the number of nonzero weights T_k and assumed to be a.s. finite. Its properties are governed by the function m(s) := E sum_{k=1}^N |T_k|^s . There are at most two values alpha < �eta such that m(alpha)=m(�eta)=1. We consider solutions R with finite moment of order s > alpha. We review results about existence and uniqueness. Assuming the existence of �eta and an additional mild moment condition on the T_{k}, our main result asserts that lim_{t o infty} t^�eta P(|R| > t) = K > 0, the main contribution being that K is indeed positive and therefore �eta the precise tail index of |R|, for the convergence was recently shown by Jelenkovic and Olvera-Cravioto (arXiv:1012.2165).

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Cited in

(9)

• PageRank in Scale-Free Random Graphs
• Heavy tailed solutions of multivariate smoothing transforms
• Linear stochastic equations in the critical case
• Maximums on trees
• The fixed points of the multivariate smoothing transform
• The smoothing transform: a review of contraction results
• Stationary waiting time in parallel queues with synchronization
• PageRank's behavior under degree correlations
• Precise tail asymptotics of fixed points of the smoothing transform with general weights

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