Related papers: A note on the Kesten--Grincevi\v{c}ius--Goldie the…

We extend Goldie's implicit renewal theorem to the arithmetic case, which allows us to determine the tail behavior of the solution of various random fixed point equations. It turns out that the arithmetic and nonarithmetic cases are very…

We study the free analogue of the classical affine fixed-point (or perpetuity) equation \[ \mathbb{X} \stackrel{d}{=} \mathbb{A}^{1/2}\mathbb{X}\,\mathbb{A}^{1/2} + \mathbb{B}, \] where $\mathbb{X}$ is assumed to be $*$-free from the pair…

We study the stochastic recursion $X_n=\Psi_n(X_{n-1})$, where $(\Psi_n)_{n\geq 1}$ is a sequence of i.i.d. random Lipschitz mappings close to the random affine transformation $x\mapsto Ax+B$. We describe the tail behaviour of the…

The existence of a minimal measurable length is a common feature of various approaches to quantum gravity such as string theory, loop quantum gravity and black-hole physics. In this scenario, all commutation relations are modified and the…

Let $A(x): =(A_{i, j}(x))$ be a continuous function defined on some subshift of $\Omega:= \{0,1, \cdots, m-1\}^\mathbb{N}$, taking $d\times d$ non-negative matrices as values and let $\nu$ be an ergodic $\sigma$-invariant measure on the…

Let $\{X_i(t),t\ge0\}, 1\le i\le n$ be mutually independent centered Gaussian processes with almost surely continuous sample paths. We derive the exact asymptotics of $$ P\left(\exists_{t \in [0,T]} \forall_{i=1 ... n} X_i(t)> u \right) $$…

We study the affine recursion $X_n = A_nX_{n-1}+B_n$ where $(A_n,B_n)\in {\mathbb R}^+ \times {\mathbb R} $ is an i.i.d. sequence and recursions $X_n = \Phi_n(X_{n-1})$ defined by Lipschitz transformations such that $\Phi (x)\geq Ax+B$. It…

Let $X_{1},X_{2},...$ be a sequence of independent copies (s.i.c) of a real random variable (r.v.) $X\geq 1$, with distribution function $df$ $F(x)=\mathbb{P}% (X\leq x)$ and let $X_{1,n}\leq X_{2,n} \leq ... \leq X_{n,n}$ be the order…

In this paper we consider a stochastic model of perpetuity-type. In contrast to the classical affine perpetuity model of Kesten [12] and Goldie [8] all discount factors in the model are mutually independent. We prove that the tails of the…

An infinite convergent sum of independent and identically distributed random variables discounted by a multiplicative random walk is called perpetuity, because of a possible actuarial application. We give three disjoint groups of sufficient…

We derive the exact asymptotics of $P(\sup_{u\leq t}X(u) > x)$ if $x$ and $t$ tend to infinity with $x/t$ constant, for a L\'{e}vy process $X$ that admits exponential moments. The proof is based on a renewal argument and a two-dimensional…

For $\{X(t), t \in G_\delta\}$ a centered Gaussian process with stationary increments and a.s. sample paths on a discrete grid $G_\delta=\{0,\delta,2\delta, ...\}$, where $\delta>0$, we investigate the stationary reflected process…

For a graph $G$ with $n$ vertices, let $\nu(G)$ and $A(G)$ denote the matching number and adjacency matrix of $G$, respectively. The permanental polynomial of $G$ is defined as $\pi(G,x)={\rm per}(Ix-A(G))$. The permanental nullity of $G$,…

An invariant random subgroup of the countable group {\Gamma} is a random subgroup of {\Gamma} whose distribution is invariant under conjugation by all elements of {\Gamma}. We prove that for a nonamenable invariant random subgroup H, the…

We consider a class of perpetuities which admit direct characterization of asymptotics of the key truncated moment. The class contains perpetuities without polynomial decay of tail probabilities and thus not satisfying Kesten's theorem. We…

Let $F\{dx\}$ be a relatively stable probability distribution on the whole real line and $S_n$ the random walk started at the origin with step distribution $F$. We obtain an exact asymptotic form of the Green measure $U\{x+dy\}=…

We present a novel approach to test for heteroscedasticity of a non-stationary time series that is based on Gini's mean difference of logarithmic local sample variances. In order to analyse the large sample behaviour of our test statistic,…

Let $X=(X_1,\ldots,X_n)$ be a vector of i.i.d. random variables where $X_i$'s take values over $\mathbb{N}$. The purpose of this paper is to study the number of weakly increasing subsequences of $X$ of a given length $k$, and the number of…

Let G=\{G(x),x\in R^1\} be a mean zero Gaussian processes with stationary increments and set \si ^2(|x-y|)= E(G(x)-G(y))^2. Let f be a symmetric function with Ef(\eta)<\ff, where \eta=N(0,1). When \si^2(s) is concave or when \si^2(s)=s^r$,…

If $X$ is a stable process of index $\alpha\in(0,2)$ whose L\'{e}vy measure has density $cx^{-\alpha-1}$ on $(0,\infty)$, and $S_1=\sup_{0<t\leq1}X_t$, it is known that $P(S_1>x)\backsim A\alpha ^{-1}x^{-\alpha}$ as $x\to\infty$ and…