Asymptotic properties and absolute continuity of laws stable by random weighted mean
We study properties of stable-like laws, which are solutions of the distributional equation where (N,A1,A2,...) is a given random variable with values in {0,1,...}x[0,[infinity])x[0,[infinity])x..., and Z,Z1,Z2,... are identically distributed positive random variables, independent of each other and independent of (N,A1,A2,...). Examples of such laws contain the laws of the well-known limit random variables in: (a) the Galton-Watson process or general branching processes, (b) branching random walks, (c) multiplicative processes, and (d) smoothing processes. For any solution Z (with finite or infinite mean), we find asymptotic properties of the distribution function P(Z[less-than-or-equals, slant]x) and those of the characteristic function EeitZ; we prove that the distribution of Z is absolutely continuous on (0,[infinity]), and that its support is the whole half-line [0,[infinity]). Solutions which are not necessarily positive are also considered.
Year of publication: |
2001
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Authors: | Liu, Quansheng |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 95.2001, 1, p. 83-107
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Publisher: |
Elsevier |
Keywords: | Multiplicative cascades Branching processes Crump-Mode-Jagers Branching random walks Smoothing processes Martingales Functional equations Moments of negative orders Left tails Decay rate of characteristic function Absolute continuity Support |
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