Perpetuities with thin tails
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Publication:4891048
DOI10.2307/1428067zbMath0862.60046OpenAlexW2084833267MaRDI QIDQ4891048
Charles M. Goldie, Rudolf Grübel
Publication date: 25 May 1997
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1428067
Related Items (44)
Stability of perpetuities ⋮ Distributional properties of solutions of dVt = Vt-dUt + dLt with Lévy noise ⋮ On distributional properties of perpetuities ⋮ Simulating the Dickman distribution ⋮ Large deviations for some logarithmic means in the case of random variables with thin tails ⋮ Exact simulation of generalised Vervaat perpetuities ⋮ Bernstein-gamma functions and exponential functionals of Lévy processes ⋮ Thin tails of fixed points of the nonhomogeneous smoothing transform ⋮ Cumulative record times in a Poisson process ⋮ Approximating perpetuities ⋮ Approximations for the distribution of perpetuities with small discount rates ⋮ Iterated random functions and slowly varying tails ⋮ Implicit renewal theory for exponential functionals of Lévy processes ⋮ Tail behavior of solutions of linear recursions on trees ⋮ Renorming divergent perpetuities ⋮ One-dimensional linear recursions with Markov-dependent coefficients ⋮ Heavy tail phenomenon and convergence to stable laws for iterated Lipschitz maps ⋮ On strong and almost sure local limit theorems for a probabilistic model of the Dickman distribution ⋮ On the tvGARCH(1,1) model: existence, CLT, and tail index ⋮ Fractional Moments of Solutions to Stochastic Recurrence Equations ⋮ \(\mathrm{GARCH}(1,1)\) process can have arbitrarily heavy power tails ⋮ Random difference equations with subexponential innovations ⋮ Statistical aspects of perpetuities ⋮ Random minimal directed spanning trees and Dickman-type distributions ⋮ Two-sided bounds for \(L_p\)-norms of combinations of products of independent random variables ⋮ Geodesics and flows in a Poissonian city ⋮ Tail asymptotics for exponential functionals of Lévy processes ⋮ On the long time behavior of the TCP window size process ⋮ Convergence to type I distribution of the extremes of sequences defined by random difference equation ⋮ On perpetuities with gamma-like tails ⋮ On Tails of Perpetuities ⋮ Kshirsagar-Tan independence property of beta matrices and related characterizations ⋮ Interplay of insurance and financial risks in a discrete-time model with strongly regular variation ⋮ Speed of propagation for Hamilton-Jacobi equations with multiplicative rough time dependence and convex Hamiltonians ⋮ Importance sampling of heavy-tailed iterated random functions ⋮ On perpetuities with light tails ⋮ Stochastic recursions: between Kesten's and Grincevičius-Grey's assumptions ⋮ A law of large numbers and central limit theorem for the logarithm of an autoregressive process with a stationary driving sequence ⋮ Algebraic properties of beta and gamma distributions, and applications ⋮ Slowly varying asymptotics for signed stochastic difference equations ⋮ Perpetuities with thin tails revisited ⋮ Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations ⋮ Heavy-tails in Kalman filtering with packet losses ⋮ Exponential ergodicity for Markov processes with random switching
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