English

Absolute Continuity of Complex Martingales and of Solutions to Complex Smoothing Equations

Probability 2018-04-09 v1

Abstract

Let XX be a C\mathbb{C}-valued random variable with the property that X  has the same law as  j1TjXjX \ \text{ has the same law as }\ \sum_{j\ge1} T_j X_j where XjX_j are i.i.d.\ copies of XX, which are independent of the (given) C\mathbb{C}-valued random variables (Tj)j1 (T_j)_{j\ge1}. We provide a simple criterion for the absolute continuity of the law of XX that requires, besides the known conditions for the existence of XX, only finiteness of the first and second moment of NN - the number of nonzero weights TjT_j. Our criterion applies in particular to Biggins' martingale with complex parameter.

Keywords

Cite

@article{arxiv.1804.02209,
  title  = {Absolute Continuity of Complex Martingales and of Solutions to Complex Smoothing Equations},
  author = {Ewa Damek and Sebastian Mentemeier},
  journal= {arXiv preprint arXiv:1804.02209},
  year   = {2018}
}

Comments

14 pages, 3 figures