English

On the tail distribution of the solution to some law equation

Probability 2019-03-27 v1

Abstract

We consider a distribution equation which was initially studied by Bertoin \cite{Bertoin}: M=dmax{ν~,max1kνMk}.M \stackrel{d}{=} \max\{\widetilde{\nu}, \max_{1\leq k\leq \nu}M_k\}. where {Mk}k1\{M_k\}_{k\geq 1} are i.i.d. copies of MM and independent of (ν~,ν)R+×N(\widetilde{\nu}, \nu)\in\mathbb{R}_+\times\mathbb{N}. We obtain the tail behaviour of the solution of a generalised equation in a different but direct method by considering the joint tail of (ν~,ν)(\widetilde{\nu}, \nu).

Keywords

Cite

@article{arxiv.1903.10755,
  title  = {On the tail distribution of the solution to some law equation},
  author = {Xinxin Chen and Chunhua Ma},
  journal= {arXiv preprint arXiv:1903.10755},
  year   = {2019}
}