Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527287 | Stochastic Processes and their Applications | 2012 | 31 Pages |
Abstract
Consider the linear nonhomogeneous fixed-point equation R=Dâi=1NCiRi+Q, where (Q,N,C1,C2,â¦) is a random vector with Nâ{0,1,2,3,â¦}âª{â},Ciâ¥0 for all iâN, P(|Q|>0)>0, and {Ri}iâN is a sequence of i.i.d. random variables independent of (Q,N,C1,C2,â¦) having the same distribution as R. It is known that R will have a heavy-tailed distribution under several different sets of assumptions on the vector (Q,N,C1,C2,â¦). This paper investigates the settings where either ZN=âi=1NCi or Q are regularly varying with index âα<â1 and E[âi=1NCiα]<1. This work complements previous results showing that P(R>t)â¼Htâα provided there exists a solution α>0 to the equation E[âi=1N|Ci|α]=1, and both Q and ZN have lighter tails.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Mariana Olvera-Cravioto,