English

Thin tails of fixed points of the nonhomogeneous smoothing transform

Probability 2015-10-23 v1

Abstract

For a given random sequence (C,T1,T2,)(C,T_{1},T_{2},\ldots) with nonzero CC and a.s. finite number of nonzero TkT_{k}, the nonhomogeneous smoothing transform S\mathcal{S} maps the law of a real random variable XX to the law of k1TkXk+C\sum_{k\ge 1}T_{k}X_{k}+C, where X1,X2,X_{1},X_{2},\ldots are independent copies of XX and also independent of (C,T1,T2,)(C,T_{1},T_{2},\ldots). This law is a fixed point of S\mathcal{S} if the stochastic fixed-point equation (SFPE) X=dk1TkXk+CX\stackrel{d}{=}\sum_{k\ge 1}T_{k}X_{k}+C holds true, where =d\stackrel{d}{=} denotes equality in law. Under suitable conditions including EC=0\mathbb{E} C=0, S\mathcal{S} possesses a unique fixed point within the class of centered distributions, called the canonical solution to the above SFPE because it can be obtained as a certain martingale limit in an associated weighted branching model. The present work provides conditions on (C,T1,T2,)(C,T_{1},T_{2},\ldots) such that the canonical solution exhibits right and/or left Poisson tails and the abscissa of convergence of its moment generating function can be determined. As a particular application, the right tail behavior of the Quicksort distribution is found.

Keywords

Cite

@article{arxiv.1510.06451,
  title  = {Thin tails of fixed points of the nonhomogeneous smoothing transform},
  author = {Gerold Alsmeyer and Piotr Dyszewski},
  journal= {arXiv preprint arXiv:1510.06451},
  year   = {2015}
}

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26 pages