On a Theorem of Breiman and a Class of Random Difference Equations
On a Theorem of Breiman and a Class of Random Difference Equations
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Cambridge, UK: Cambridge University Press
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Language
English
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Cambridge, UK: Cambridge University Press
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We consider the tail behavior of the product of two independent nonnegative random variables X and Y. Breiman (1965) has considered this problem, assuming that X is regularly varying with index α and that E{Yα+ε} < ∞ for some ε > 0. We investigate when the condition on Y can be weakened and apply our findings to analyze a class of random difference...
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On a Theorem of Breiman and a Class of Random Difference Equations
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TN_cdi_projecteuclid_primary_oai_CULeuclid_euclid_jap_1197908822
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_projecteuclid_primary_oai_CULeuclid_euclid_jap_1197908822
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ISSN
0021-9002
E-ISSN
1475-6072
DOI
10.1239/jap/1197908822
