Regular Variation in the Tail Behaviour of Solutions of Random Difference Equations
Grey, D. R.
Ann. Appl. Probab., Tome 4 (1994) no. 4, p. 169-183 / Harvested from Project Euclid
Let $Q$ and $M$ be random variables with given joint distribution. Under some conditions on this joint distribution, there will be exactly one distribution for another random variable $R$, independent of $(Q,M)$, with the property that $Q + MR$ has the same distribution as $R$. When $M$ is nonnegative and satisfies some moment conditions, we give an improved proof that if the upper tail of the distribution of $Q$ is regularly varying, then the upper tail of the distribution of $R$ behaves similarly; this proof also yields a converse. We also give an application to random environment branching processes, and consider extensions to cases where $Q + MR$ is replaced by $\Psi(R)$ for random but nonlinear $\Psi$ and where $M$ may be negative.
Publié le : 1994-02-14
Classification:  Random equations,  random recurrence relations,  regular variation,  random environment branching processes,  60H25,  60J80
@article{1177005205,
     author = {Grey, D. R.},
     title = {Regular Variation in the Tail Behaviour of Solutions of Random Difference Equations},
     journal = {Ann. Appl. Probab.},
     volume = {4},
     number = {4},
     year = {1994},
     pages = { 169-183},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177005205}
}
Grey, D. R. Regular Variation in the Tail Behaviour of Solutions of Random Difference Equations. Ann. Appl. Probab., Tome 4 (1994) no. 4, pp.  169-183. http://gdmltest.u-ga.fr/item/1177005205/