Renorming divergent perpetuities
Abstract
We consider a sequence of random variables defined by the recurrence , , where is arbitrary and , , are i.i.d. copies of a two-dimensional random vector , and is independent of . It is well known that if and , then the sequence converges in distribution to a random variable given by , and usually referred to as perpetuity. In this paper we consider a situation in which the sequence itself does not converge. We assume that exists but that it is non-negative and we ask if in this situation the sequence , after suitable normalization, converges in distribution to a non-degenerate limit.
Cite
@article{arxiv.1107.2753,
title = {Renorming divergent perpetuities},
author = {Paweł Hitczenko and Jacek Wesołowski},
journal= {arXiv preprint arXiv:1107.2753},
year = {2011}
}
Comments
Published in at http://dx.doi.org/10.3150/10-BEJ297 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)