Integrability of infinite weighted sums of heavy-tailed i.i.d.\ random variables.

DOI10.1016/S0304-4149(02)00086-8zbMath1059.60061MaRDI QIDQ1766072

Martin P. W. Zerner

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

integrabilitycharacteristic functionlinear processheavy-tailed distributionstationary distributionsum of independent random variables

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Characteristic functions; other transforms (60E10) Sums of independent random variables; random walks (60G50)

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