On distributional properties of perpetuities

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dc.creatorAlsmeyer, Gerold
dc.creatorIksanov, Alex
dc.creatorRoesler, Uwe
dc.date2008-03-26
dc.date.accessioned2026-07-07T09:28:26Z
dc.date.available2026-07-07T09:28:26Z
dc.descriptionWe study probability distributions of convergent random series of a special structure, called perpetuities. By giving a new argument, we prove that such distributions are of pure type: degenerate, absolutely continuous, or continuously singular. We further provide necessary and sufficient criteria for the finiteness of $p$-moments, $p>0$ as well as exponential moments. In particular, a formula for the abscissa of convergence of the moment generating function is provided. The results are illustrated with a number of examples at the end of the article.
dc.descriptionto appear in Journal of Theoretical Probability
dc.identifierhttps://arxiv.org/abs/0803.3716
dc.identifierhttp://arxiv.org/abs/0803.3716
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/157455
dc.subjectProbability
dc.subject60E99; 60G50
dc.titleOn distributional properties of perpetuities
dc.typetext

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