English

Implicit renewal theory in the arithmetic case

Probability 2016-09-26 v1

Abstract

We extend Goldie's implicit renewal theorem to the arithmetic case, which allows us to determine the tail behavior of the solution of various random fixed point equations. It turns out that the arithmetic and nonarithmetic cases are very different. Under appropriate conditions we obtain that the tail of the solution XX of the fixed point equations X=DAX+BX \stackrel{\mathcal{D}}{=} AX + B, X=DAXBX \stackrel{\mathcal{D}}{=} AX \vee B is (x)q(x)xκ\ell (x) q(x) x^{-\kappa}, where qq is a logarithmically periodic function q(xeh)=q(x)q(x e^h) = q(x), x>0x > 0, with hh being the span of the arithmetic distribution of logA\log A, and \ell is a slowly varying function. In particular, the tail is not necessarily regularly varying. We use the renewal theoretic approach developed by Grincevi\v{c}ius and Goldie.

Keywords

Cite

@article{arxiv.1609.07339,
  title  = {Implicit renewal theory in the arithmetic case},
  author = {Peter Kevei},
  journal= {arXiv preprint arXiv:1609.07339},
  year   = {2016}
}
R2 v1 2026-06-22T15:59:11.938Z