PERPETUITIES WITH THIN TAILS REVISITED
成果类型：
Article
署名作者：
Hitczenko, Pawel; Wesolowski, Jacek
署名单位：
Drexel University; Warsaw University of Technology
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/09-AAP603
发表日期：
2009
页码：
2080-2101
关键词：
摘要：
We consider the tail behavior of random variables R which are solutions of the distributional equation R (d)= Q + M R, where (Q. M) is independent of R and vertical bar M vertical bar <= 1. Goldie and Grubel showed that the tails of R are no heavier than exponential and that if Q is bounded and M resembles near I the uniform distribution, then the tails of R are Poissonian. In this paper, we further investigate the connection between the tails of R and the behavior of M near 1. We focus on the special case when Q is constant and M is nonnegative.
来源URL：