Linear stochastic equations in the critical case

DOI10.1080/10236198.2013.822494MaRDI QIDQ5746472zbMATH OpenOpenAlexFDO

Authors Dariusz Buraczewski, Konrad Kolesko

Publication date 18 February 2014

Published in Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.7732

zbMATH Keywords

large deviationslinear stochastic equationsmoothing transform

Mathematics Subject Classification ID

Large deviations (60F10) Random operators and equations (aspects of stochastic analysis) (60H25) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Abstract: We consider solutions of the stochastic equation $Xstackreld=su{m}_{i=1}^N{A}_i{X}_i+B$, where $N$ is a random natural number, $B$ and $A_i$ are random positive numbers and $X_i$ are independent copies of $X$, which are independent also of $N,B,A_i$. Properties of solutions of this equation are mainly coded in the function $$. In this paper we study the critical case when the function $m$ is tangent to the line $y=1$. Then, under a number of further assumptions, we prove existence of solutions and describe their asymptotic behavior.

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Cited in

(6)

• Tail asymptotics of maximums on trees in the critical case
• Regular variation of fixed points of the smoothing transform
• Local fluctuations of critical Mandelbrot cascades
• Heavy tailed solutions of multivariate smoothing transforms
• The fixed points of the multivariate smoothing transform
• Affine random equations and the stable \(\left( {1 \over 2} \right)\) distribution

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