Stochastic fixed point for the maximum
The authors present a systematic approach to study various properties of stochastic point equations of the form \(dX=\sup_{i}T_iX_i,\) considered with respect to \(X\geq 0\) given \(T=(T_1,T_2,...),\) where the random objects \(T,X_i,i=1,2,\dots,\) are independent (but the components of \(T\) may be dependent) and \(X_i\) are distributed as \(X\). In the case when \(\sup_iT_i\leq 1\) a method is described allowing to find solutions of the fixed point equation above. The results obtained are applied to investigate a water cascade model. For the entire collection see [Zbl 1047.68003].
- scientific article; zbMATH DE number 4025311
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- scientific article; zbMATH DE number 4134905
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- The functional equation of the smoothing transform
- A stochastic fixed point equation for weighted minima and maxima
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