Mathematics – Probability
Scientific paper
2008-04-11
Annales de l'Institut Henri Poincar\'e - Probabilit\'es et Statistiques 2008, Vol. 44, No. 1, 89-103
Mathematics
Probability
Published in at http://dx.doi.org/10.1214/07-AIHP104 the Annales de l'Institut Henri Poincar\'e - Probabilit\'es et Statistiqu
Scientific paper
10.1214/07-AIHP104
Given any finite or countable collection of real numbers $T_j,j\in J$, we find all solutions $F$ to the stochastic fixed point equation \[W\stackrel{\mathrm {d}}{=}\inf_{j\in J}T_jW_j,\] where $W$ and the $W_j,j\in J$, are independent real-valued random variables with distribution $F$ and $\stackrel{\mathrm {d}}{=}$ means equality in distribution. The bulk of the necessary analysis is spent on the case when $|J|\geq 2$ and all $T_j$ are (strictly) positive. Nontrivial solutions are then concentrated on either the positive or negative half line. In the most interesting (and difficult) situation $T$ has a characteristic exponent $\alpha$ given by $\sum_{j\in J}T_j^{\alpha}=1$ and the set of solutions depends on the closed multiplicative subgroup of $\mathbb {R}^{>}=(0,\infty)$ generated by the $T_j$ which is either $\{1\}$, $\mathbb {R}^{>}$ itself or $r^{\mathbb {Z}}=\{r^n\dvt n\in \mathbb {Z}\}$ for some $r>1$. The first case being trivial, the nontrivial fixed points in the second case are either Weibull distributions or their reciprocal reflections to the negative half line (when represented by random variables), while in the third case further periodic solutions arise. Our analysis builds on the observation that the logarithmic survival function of any fixed point is harmonic with respect to $\varLambda =\sum_{j\geq 1}\delta_{T_j}$, i.e. $\varGamma =\varGamma \star \varLambda$, where $\star$ means multiplicative convolution. This will enable us to apply the powerful Choquet--Deny theorem.
Alsmeyer Gerold
Rösler Uwe
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