On the finiteness and tails of perpetuities under a Lamperti–Kiu MAP
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Publication:5014310
DOI10.1017/jpr.2021.24zbMath1475.60085arXiv1811.10286OpenAlexW3216683773MaRDI QIDQ5014310
Publication date: 1 December 2021
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.10286
Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Probabilistic potential theory (60J45) Self-similar stochastic processes (60G18)
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