On a theorem of Breiman and a class of random difference equations

D.E. Denisov, B. Zwart

Research output: Contribution to journalArticleAcademicpeer-review

32 Citations (Scopus)
3 Downloads (Pure)

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 a and that E{Ya+e} <8 for some e > 0. We investigate when the condition on Y can be weakened and apply our findings to analyze a class of random difference equations.
Original languageEnglish
Pages (from-to)1031-1046
JournalJournal of Applied Probability
Volume44
Issue number4
DOIs
Publication statusPublished - 2007

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