The functional equation of the smoothing transform

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Publication:690873

DOI10.1214/11-AOP670zbMATH Open1266.39022arXiv0906.3133OpenAlexW3104044466MaRDI QIDQ690873FDOQ690873

Matthias Meiners, J. D. Biggins, Gerold Alsmeyer

Publication date: 29 November 2012

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: Given a sequence T=(Ti)igeq1 of nonnegative random variables, a function f on the positive halfline can be transformed to mathbbEprodigeq1f(tTi). We study the fixed points of this transform within the class of decreasing functions. By exploiting the intimate relationship with general branching processes, a full description of the set of solutions is established without the moment conditions that figure in earlier studies. Since the class of functions under consideration contains all Laplace transforms of probability distributions on [0,infty), the results provide the full description of the set of solutions to the fixed-point equation of the smoothing transform, Xstackreld=sumigeq1TiXi, where stackreld= denotes equality of the corresponding laws, and X1,X2,... is a sequence of i.i.d. copies of X independent of T. Further, since left-continuous survival functions are covered as well, the results also apply to the fixed-point equation Xstackreld=infXi/Ti:igeq1,Ti>0. Moreover, we investigate the phenomenon of endogeny in the context of the smoothing transform and, thereby, solve an open problem posed by Aldous and Bandyopadhyay.


Full work available at URL: https://arxiv.org/abs/0906.3133




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