Absolute Continuity of Complex Martingales and of Solutions to Complex Smoothing Equations
Probability
2018-04-09 v1
Abstract
Let be a -valued random variable with the property that where are i.i.d.\ copies of , which are independent of the (given) -valued random variables . We provide a simple criterion for the absolute continuity of the law of that requires, besides the known conditions for the existence of , only finiteness of the first and second moment of - the number of nonzero weights . 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