Fixed points of multivariate smoothing transforms with scalar weights

MaRDI QIDQ5248339zbMATH OpenFDO

Authors Matthias Meiners, Alexander Iksanov

Publication date 7 May 2015

Full work available at URL https://arxiv.org/abs/1402.4147, http://alea.impa.br/articles/v12/12-04.pdf

zbMATH Keywords

characteristic functionsfixed pointsinfinite divisibilitymultiplicative martingalesmultitype branching random walkmultivariate smoothing transformweighted branching process

Mathematics Subject Classification ID

Functional equations for complex functions (39B32) Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) General theory of stochastic processes (60G07) Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Abstract: Given a sequence $(C_1,ldots,C_d,T_1,T_2,ldots)$ of real-valued random variables with $$ almost surely, there is an associated smoothing transformation which maps a distribution $P$ on $mathbb{R}^d$ to the distribution of $su{m}_{jgeq1}{T}_{j}mathbf{X}^{(j)}+mathbfC$ where $mathbfC=(C_1,ldots,C_d)$ and $(mathbf{X}^{(j)}{)}_{jgeq1}$ is a sequence of independent random vectors with distribution $P$ independent of $(C_1,ldots,C_d,T_1,T_2,ldots)$. We are interested in the fixed points of this mapping. By improving on the techniques developed in [G. Alsmeyer, J.D. Biggins, and M. Meiners. The functional equation of the smoothing transform {em Ann. Probab.}, 40(5):2069--2105, 2012] and [G. Alsmeyer and M. Meiners. Fixed points of the smoothing transform: two-sided solutions. {em Probab. Theory Related Fields}, 155(1-2):165--199, 2013], we determine the set of all fixed points under weak assumptions on $(C_1,ldots,C_d,T_1,T_2,ldots)$. In contrast to earlier studies, this includes the most intricate case when the $T_j$ take both positive and negative values with positive probability. In this case, in some situations, the set of fixed points is a subset of the corresponding set when the $T_j$ are replaced by their absolute values, while in other situations, additional solutions arise.

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(14)

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