Article ID Journal Published Year Pages File Type
1155899 Stochastic Processes and their Applications 2009 7 Pages PDF
Abstract

Let {Ai}{Ai} be a sequence of random positive numbers, such that only NN first of them are strictly positive, where NN is a finite a.s. random number. In this paper we investigate nonnegative solutions of the distributional equation Z=d∑i=1NAiZi, where Z,Z1,Z2,…Z,Z1,Z2,… are independent and identically distributed random variables, independent of N,A1,A2,…N,A1,A2,…. We assume E[∑i=1NAi]=1 and E[∑i=1NAilogAi]=0 (the boundary case), then it is known that all nonzero solutions have infinite mean. We obtain new results concerning behavior of their tails.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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