A note on the Kesten-Grincevičius-Goldie theorem

Abstract: Consider the perpetuity equation

X s t a c k r e l m a t h c a l D = A X + B

, where

(A, B)

and

X

on the right-hand side are independent. The Kesten--Grinceviv{c}ius--Goldie theorem states that

P X > x s i m c x^{- k a p p a}

if

E A^{k} a p p a = 1

,

E A^{k} a p p a l o g_{+} A < i n f t y

, and

E | B |^{k} a p p a < i n f t y

. We assume that

E | B |^{u} < i n f t y

for some

u > k a p p a

, and consider two cases (i)

E A^{k} a p p a = 1

,

E A^{k} a p p a l o g_{+} A = i n f t y

; (ii)

E A^{k} a p p a < 1

,

E A^{t} = i n f t y

for all

t > k a p p a

. We show that under appropriate additional assumptions on

A

the asymptotic

P X > x s i m c x^{- k a p p a} e l l (x)

holds, where

e l l

is a nonconstant slowly varying function. We use Goldie's renewal theoretic approach.

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