A stochastic fixed point equation for weighted minima and maxima

are (strictly) positive. Nontrivial solutions are then concentrated on either the positive or negative half line. In the most interesting (and difficult) situation

T

has a characteristic exponent

a l p h a

given by

s u m_{j i n J} T_{j}^{a l p h a} = 1

and the set of solutions depends on the closed multiplicative subgroup of

m a t h b b R^{>} = (0, i n f t y)

generated by the

T_{j}

which is either

1

,

m a t h b b R^{>}

itself or

r^{m a t h b b Z} = r^{n} d v t n i n m a t h b b Z

for some

r > 1

. The first case being trivial, the nontrivial fixed points in the second case are either Weibull distributions or their reciprocal reflections to the negative half line (when represented by random variables), while in the third case further periodic solutions arise. Our analysis builds on the observation that the logarithmic survival function of any fixed point is harmonic with respect to

v a r L a m b d a = s u m_{j g e q 1} d e l t a_{T_{j}}

, i.e.

v a r G a m m a = v a r G a m m a s t a r v a r L a m b d a

, where

s t a r

means multiplicative convolution. This will enable us to apply the powerful Choquet--Deny theorem.

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