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On Tails of Perpetuities
Published online by Cambridge University Press: 14 July 2016
Abstract
We establish an upper bound on the tails of a random variable that arises as a solution of a stochastic difference equation. In the nonnegative case our bound is similar to a lower bound obtained in Goldie and Grübel (1996).
MSC classification
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- Research Article
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- Copyright
- Copyright © Applied Probability Trust 2010
Footnotes
Supported in part by the NSA grant #H98230-09-1-0062.
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