On tails of perpetuities
Probability
2011-01-12 v1
Abstract
We establish an upper bound on the tails of a random variable that arises as a solution of a stochastic difference equation. In the non--negative case our bound is similar to a lower bound obtained by Goldie and Gr\"ubel in 1996.
Cite
@article{arxiv.1101.2183,
title = {On tails of perpetuities},
author = {Pawel Hitczenko},
journal= {arXiv preprint arXiv:1101.2183},
year = {2011}
}