Heavy tails for an alternative stochastic perpetuity model
type: Item
instance of: scholarly article
title: Heavy tails for an alternative stochastic perpetuity model
zbMATH Open document ID: 1448.60115
author: T. Mikosch
author: Mohsen Rezapour
author: Olivier Wintenberger
published in: Stochastic Processes and their Applications
publication date: 2019-11-27T00:00:00Z
full work available at URL: https://arxiv.org/abs/1703.07272
Mathematics Subject Classification ID: 60G70
Mathematics Subject Classification ID: 60F05
zbMATH DE Number: 7137652
zbMATH Keywords: Kesten-Goldie theory
zbMATH Keywords: perpetuity
zbMATH Keywords: heavy tail
zbMATH Keywords: large deviation
zbMATH Keywords: power-law tail
zbMATH Keywords: change of measure
MaRDI profile type: Publication
OpenAlex ID: W2618793811
arXiv ID: 1703.07272
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DOI: 10.1016/J.SPA.2018.12.008
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description: scientific article