On Tails of Perpetuities

DOI10.1239/jap/1294170529zbMath1207.60011arXiv1101.2183OpenAlexW1989043841MaRDI QIDQ3067857

Pawel Hitczenko

Publication date: 13 January 2011

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.2183

zbMATH Keywords

tail behaviorstochastic difference equationperpetuity

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Random operators and equations (aspects of stochastic analysis) (60H25)

Related Items (5)

Financial jeopardy ⋮ Convergence to type I distribution of the extremes of sequences defined by random difference equation ⋮ On perpetuities with gamma-like tails ⋮ On perpetuities with light tails ⋮ Power and exponential moments of the number of visits and related quantities for perturbed random walks

Cites Work

• Implicit renewal theory and tails of solutions of random equations
• Perpetuities with thin tails revisited
• Random difference equations and renewal theory for products of random matrices
• Random partitions with restricted part sizes
• Perpetuities with thin tails

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