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- Title
ON A THEOREM OF BREIMAN AND A CLASS OF RANDOM DIFFERENCE EQUATIONS.
- Authors
Denisov, Denis; Zwart, Bert
- Abstract
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 equations.
- Subjects
PROBABILITY theory; CLUSTER analysis (Statistics); MATHEMATICAL statistics; RANDOM variables; MULTIVARIATE analysis; OPTIMAL stopping (Mathematical statistics); SEQUENTIAL analysis; SECRETARY problem (Probability theory); HEURISTIC programming; OPERATIONS research
- Publication
Journal of Applied Probability, 2007, Vol 44, Issue 4, p1031
- ISSN
0021-9002
- Publication type
Article
- DOI
10.1239/jap/1197908822