Abstract
We consider the tail behavior of the product of two independent nonnegative random variables X and Y. Breiman (1965) has considered this problem, assuming that X is regularly varying with index a and that E{Ya+e] < 8 for some e > 0. We investigate when the condition on Y can be weakened and apply our findings to analyze a class of random difference equations. © Applied Probability Trust 2007.
Original language | English |
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Pages (from-to) | 1031-1046 |
Number of pages | 16 |
Journal | Journal of Applied Probability |
Volume | 44 |
Issue number | 4 |
DOIs | |
Publication status | Published - Dec 2007 |
Keywords
- Random difference equation
- Regular variation
- Subexponential distribution