On distributional properties of perpetuities
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Publication:842395
DOI10.1007/s10959-008-0156-8zbMath1173.60309arXiv0803.3716OpenAlexW2063872545MaRDI QIDQ842395
Gerold Alsmeyer, Aleksander M. Iksanov, Uwe Roesler
Publication date: 25 September 2009
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0803.3716
Related Items (32)
Linear fractional Galton-Watson processes in random environment and perpetuities ⋮ Distributional properties of solutions of dVt = Vt-dUt + dLt with Lévy noise ⋮ Thin tails of fixed points of the nonhomogeneous smoothing transform ⋮ Approximating perpetuities ⋮ Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise ⋮ Refinement equations and distributional fixed points ⋮ Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices ⋮ Continuous dependence in a problem of convergence of random iteration ⋮ Renorming divergent perpetuities ⋮ Random iteration with place dependent probabilities ⋮ Survivors in leader election algorithms ⋮ Sieving random iterative function systems ⋮ On the number of jumps of random walks with a barrier ⋮ On exponential functionals of Lévy processes ⋮ Non-standard limits for a family of autoregressive stochastic sequences ⋮ Fractional Moments of Solutions to Stochastic Recurrence Equations ⋮ Perpetuities in Fair Leader Election Algorithms ⋮ Geodesics and flows in a Poissonian city ⋮ Convergence to type I distribution of the extremes of sequences defined by random difference equation ⋮ On perpetuities with gamma-like tails ⋮ Random iteration and Markov operators ⋮ Discrete sums of geometric Brownian motions, annuities and Asian options ⋮ On perpetuities with light tails ⋮ Rare event simulation for processes generated via stochastic fixed point equations ⋮ A result on power moments of L\'evy-type perpetuities and its application to the $L_p$-convergence of Biggins' martingales in branching L\'evy processes ⋮ Properties of stationary distributions of a sequence of generalized Ornstein-Uhlenbeck processes ⋮ Divergent Perpetuities Modulated by Regime Switches ⋮ Quasistochastic matrices and Markov renewal theory ⋮ Perpetuities with thin tails revisited ⋮ The Smoothing Transform: A Review of Contraction Results ⋮ Power and exponential moments of the number of visits and related quantities for perturbed random walks ⋮ Analysis of quickselect under Yaroslavskiy's dual-pivoting algorithm
Cites Work
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- Some moment results about the limit of a martingale related to the supercritical branching random walk and perpetuities
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- Infinitely Divisible Laws Associated with Hyperbolic Functions
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- Perpetuities with thin tails
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