IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v190y2025ics0304414925001838.html

Perpetuities with light tails and the local dependence measure

Author

Listed:
  • Bihan, Julia Le
  • Kołodziejek, Bartosz

Abstract

This work investigates the tail behavior of solutions to the affine stochastic fixed-point equation of the form X=dAX+B, where X and (A,B) are independent. Focusing on the light-tail regime, following (Burdzy et al., 2022), we introduce a local dependence measure along with an associated Legendre-type transform. These tools allow us to effectively describe the logarithmic right-tail asymptotics of the solution X.

Suggested Citation

  • Bihan, Julia Le & Kołodziejek, Bartosz, 2025. "Perpetuities with light tails and the local dependence measure," Stochastic Processes and their Applications, Elsevier, vol. 190(C).
    • Handle: RePEc:eee:spapps:v:190:y:2025:i:c:s0304414925001838
    DOI: 10.1016/j.spa.2025.104740
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304414925001838
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spa.2025.104740?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Dyszewski, Piotr, 2016. "Iterated random functions and slowly varying tails," Stochastic Processes and their Applications, Elsevier, vol. 126(2), pages 392-413.
    2. Damek, Ewa & Kołodziejek, Bartosz, 2020. "Stochastic recursions: Between Kesten’s and Grincevičius–Grey’s assumptions," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1792-1819.
    3. Daley, D.J. & Goldie, Charles M., 2006. "The moment index of minima (II)," Statistics & Probability Letters, Elsevier, vol. 76(8), pages 831-837, April.
    4. Gerold Alsmeyer & Alex Iksanov & Uwe Rösler, 2009. "On Distributional Properties of Perpetuities," Journal of Theoretical Probability, Springer, vol. 22(3), pages 666-682, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jaakko Lehtomaa, 2015. "Asymptotic Behaviour of Ruin Probabilities in a General Discrete Risk Model Using Moment Indices," Journal of Theoretical Probability, Springer, vol. 28(4), pages 1380-1405, December.
    2. Buraczewski, Dariusz & Damek, Ewa, 2017. "A simple proof of heavy tail estimates for affine type Lipschitz recursions," Stochastic Processes and their Applications, Elsevier, vol. 127(2), pages 657-668.
    3. McKinlay, Shaun, 2017. "On beta distributed limits of iterated linear random functions," Statistics & Probability Letters, Elsevier, vol. 127(C), pages 33-41.
    4. Anita Behme & Alexander Lindner, 2015. "On Exponential Functionals of Lévy Processes," Journal of Theoretical Probability, Springer, vol. 28(2), pages 681-720, June.
    5. Meitner Cadena & Marie Kratz, 2014. "An Extension of the Class of Regularly Varying Functions," Working Papers hal-01097780, HAL.
    6. Damek, Ewa & Kołodziejek, Bartosz, 2020. "Stochastic recursions: Between Kesten’s and Grincevičius–Grey’s assumptions," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1792-1819.
    7. Yang Yang & Shuang Liu & Kam Chuen Yuen, 2022. "Second-Order Tail Behavior for Stochastic Discounted Value of Aggregate Net Losses in a Discrete-Time Risk Model," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2600-2621, December.
    8. Gerold Alsmeyer & Alexander Iksanov & Matthias Meiners, 2015. "Power and Exponential Moments of the Number of Visits and Related Quantities for Perturbed Random Walks," Journal of Theoretical Probability, Springer, vol. 28(1), pages 1-40, March.
    9. Cadena, Meitner & Kratz, Marie, 2014. "An Extension of the Class of Regularly Varying Functions," ESSEC Working Papers WP1417, ESSEC Research Center, ESSEC Business School.
    10. Jakubowski, Adam & Szewczak, Zbigniew S., 2021. "Truncated moments of perpetuities and a new central limit theorem for GARCH processes without Kesten’s regularity," Stochastic Processes and their Applications, Elsevier, vol. 131(C), pages 151-171.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:190:y:2025:i:c:s0304414925001838. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.