An extension of a functional equation of Poincaré and Mandelbrot (Q700540)

From MaRDI portal
scientific article
Language Label Description Also known as
English
An extension of a functional equation of Poincaré and Mandelbrot
scientific article

    Statements

    An extension of a functional equation of Poincaré and Mandelbrot (English)
    0 references
    22 October 2002
    0 references
    Let \(N\) be a nonnegative integer-valued random variable, let \(A\) be a nonnegative random variable, and consider an unknown random variable \(Z\) satisfying the distributional equation \[ Z\to \sum^N_{i=1} A_iZ_i, \tag{1} \] where \(N,A_i,Z,Z_i\) are independent to each other, each \(A_i\) is distributed as \(A\), each \(Z_i\) is distributed as \(Z\). In terms of the characteristic function \(\varphi(t)= Ee^{itZ}\), this equation reads \[ \varphi(t)= f\bigl(E\varphi (At)), \tag{2} \] where \(f(s)=\sum_{n\geq 0}P(N=n)s^n\). If \(0<A=1/EN<1\), then (2) reduces to the Poincaré functional equation for Galton-Watson processes, while if \(N\geq 2\) is constant, (2) becomes the Mandelbrot functional equation for multiplicative cascades. The author first gives necessary and sufficient conditions for (1) to have nontrivial and nonnegative solutions. Then asymptotic properties of \(\varphi\) and its derivative are studied. If (1) has a positive solution, the author investigates conditions under which the distribution function \(P(Z\leq x)\) decays at a polynomial rate or exponentially as \(x\searrow 0\). The results he obtains are applied to multiplicative cascades, Bellman-Harris processes and branching random walks.
    0 references
    Poincaré functional equation
    0 references
    Galton-Watson processes
    0 references
    Mandelbrot functional equation
    0 references
    multiplicative cascades
    0 references
    asymptotic properties
    0 references
    Bellman-Harris processes
    0 references
    branching random walks
    0 references
    0 references

    Identifiers