On the stochastic equation \({\mathcal L}(X)={\mathcal L}[B(X+C)]\) and a property of gamma distributions

zbMath0859.60064MaRDI QIDQ1815791

Daniel Dufresne

Publication date: 8 December 1996

Published in: Bernoulli (Search for Journal in Brave)

zbMATH Keywords

hypergeometric functionsgamma variablesdiscounted sums

Mathematics Subject Classification ID

Random operators and equations (aspects of stochastic analysis) (60H25)

Related Items (11)

Present value distributions with applications to ruin theory and stochastic equations ⋮ NEW RESULTS ON THE DISTRIBUTION OF DISCOUNTED COMPOUND POISSON SUMS ⋮ Some specific density functions of aggregated discounted claims with dependent risks ⋮ Fractional Moments of Solutions to Stochastic Recurrence Equations ⋮ Random difference equations with subexponential innovations ⋮ Products of double gamma, gamma and beta distributions ⋮ The greatest convex minorant of Brownian motion, meander, and bridge ⋮ On the stochastic equation \(\mathcal{L}(Z) = \mathcal{L} [V(X + Z)\) and properties of Mittag-Leffler distributions] ⋮ Discrete sums of geometric Brownian motions, annuities and Asian options ⋮ Algebraic properties of beta and gamma distributions, and applications ⋮ Random difference equations with logarithmic distribution and the triggered shot noise

This page was built for publication: On the stochastic equation \({\mathcal L}(X)={\mathcal L}[B(X+C)]\) and a property of gamma distributions