Perpetuities with light tails and the local dependence measure
Probability
2025-03-25 v1
Abstract
This work investigates the tail behavior of solutions to the affine stochastic fixed-point equation of the form , where and are independent. Focusing on the light-tail regime, following [Burdzy et al. (2022), Ann. Appl. Probab.] we introduce a local dependence measure along with an associated Legendre-type transform. These tools allow us to effectively describe the logarithmic right-tail asymptotics of the solution . Moreover, we extend our analysis to a related recursive sequence , where are i.i.d. copies of . For this sequence, we construct deterministic scaling such that is a.s. positive and finite, with its non-random explicit value provided.
Keywords
Cite
@article{arxiv.2503.18697,
title = {Perpetuities with light tails and the local dependence measure},
author = {Julia Le Bihan and Bartosz Kołodziejek},
journal= {arXiv preprint arXiv:2503.18697},
year = {2025}
}
Comments
27 pages