Heavy tailed solutions of multivariate smoothing transforms

Let N>1 be a fixed integer and (C1,…,CN,Q) a random element of M(d×d,R)N×Rd. We consider solutions of multivariate smoothing transforms, i.e. random variables R satisfying R=d∑i=1NCiRi+Q where =d denotes equality in distribution, and R,R1,…,RN are independent identically distributed Rd-valued random variables, and independent of (C1,…,CN,Q). We briefly review conditions for the existence of solutions, and then study their asymptotic behaviour. We show that under natural conditions, these solutions exhibit heavy tails. Our results also cover the case of complex valued weights (C1,…,CN).