A stochastic fixed point equation for weighted minima and maxima

DOI10.1214/07-AIHP104zbMATH Open1176.60006arXiv0804.1884OpenAlexW2076809806MaRDI QIDQ731452FDOQ731452

Publication date: 7 October 2009

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: Given any finite or countable collection of real numbers

T_{j}, j i n J

, we find all solutions

F

to the stochastic fixed point equation [Wstackrel{mathrm {d}}{=}inf_{jin J}T_jW_j,] where

W

and the

W_{j}, j i n J

, are independent real-valued random variables with distribution

F

and

s t a c k r e l m a t h r m d =

means equality in distribution. The bulk of the necessary analysis is spent on the case when

| J | g e q 2

and all

T_{j}

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.

Full work available at URL: https://arxiv.org/abs/0804.1884

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zbMATH Keywords

Weibull distributions Choquet-Deny theorem harmonic analysis on trees stochastic fixed point equation weighted branching process weighted minima and maxima

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Cites Work

Cited In (15)

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