Discounted branching random walks
Keyword(s):
Log P
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Let F(·) be a c.d.f. on [0,∞), f(s) = ∑∞0pjsi a p.g.f. with p0 = 0, < 1 < m = Σjpj < ∞ and 1 < ρ <∞. For the functional equation for a c.d.f. H(·) on [0,∞] we establish that if 1 – F(x) = O(x–θ) for some θ > α =(log m)/(log p) there exists a unique solution H(·) to (∗) in the class C of c.d.f.’s satisfying 1 – H(x) = o(x–α).We give a probabilistic construction of this solution via branching random walks with discounting. We also show non-uniqueness if the condition 1 – H(x) = o(x–α) is relaxed.
2014 ◽
Vol 46
(02)
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pp. 400-421
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2014 ◽
Vol 46
(2)
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pp. 400-421
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1988 ◽
Vol 30
(1)
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pp. 75-85
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2016 ◽
Vol 26
(6)
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pp. 3659-3698
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2013 ◽
Vol 42
(16)
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pp. 3001-3010
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2017 ◽
Vol 14
(1)
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pp. 381
2017 ◽
Vol 96
(3)
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pp. 479-486
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Keyword(s):
2018 ◽
Vol 97
(3)
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pp. 459-470
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2015 ◽
pp. 19-28
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