English

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 X=dAX+BX\stackrel{d}{=}AX+B, where XX and (A,B)(A,B) 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 XX. Moreover, we extend our analysis to a related recursive sequence Xn=AnXn1+BnX_n=A_n X_{n-1}+B_n, where (An,Bn)n(A_n,B_n)_{n} are i.i.d. copies of (A,B)(A,B). For this sequence, we construct deterministic scaling (fn)n(f_n)_{n} such that lim supnXn/fn\limsup_{n\to\infty} X_n/ f_n 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}
}

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27 pages