On tails of perpetuities

Details On tails of perpetuities On tails of perpetuities

2011-01-11

arxiv.org/abs/1101.2183v1

Journal of Applied Probability, 47 (2010), 1191-1194

Mathematics

Probability

Scientific paper

We establish an upper bound on the tails of a random variable that arises as
a solution of a stochastic difference equation. In the non--negative case our
bound is similar to a lower bound obtained by Goldie and Gr\"ubel in 1996.

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