Blanchet, Jose; Lam, Henry; Zwart, Bert - In: Stochastic Processes and their Applications 122 (2012) 10, pp. 3361-3392
We consider perpetuities of the form D=B1exp(Y1)+B2exp(Y1+Y2)+⋯, where the Yj’s and Bj’s might be i.i.d. or jointly driven by a suitable Markov chain. We assume that the Yj’s satisfy the so-called Cramér condition with associated root θ∗∈(0,∞) and that the tails of the Bj’s are...
