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On the finiteness and tails of perpetuities under a Lamperti–Kiu MAP

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Alili, Larbi and Woodford, David (2021) On the finiteness and tails of perpetuities under a Lamperti–Kiu MAP. Journal of Applied Probability, 58 (4). pp. 1086-1113. doi:10.1017/jpr.2021.24 ISSN 0021-9002.

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Official URL: http://dx.doi.org/10.1017/jpr.2021.24

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Item Type: Journal Article
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Science, Engineering and Medicine > Science > Statistics
Library of Congress Subject Headings (LCSH): Markov processes, Self-similar processes, Perpetuities, Potential theory (Mathematics), Stochastic models, Risk
Journal or Publication Title: Journal of Applied Probability
Publisher: Applied Probability Trust
ISSN: 0021-9002
Official Date: 2021
Dates:
DateEvent
2021Published
22 November 2021Available
24 March 2021Accepted
Volume: 58
Number: 4
Page Range: pp. 1086-1113
DOI: 10.1017/jpr.2021.24
Status: Peer Reviewed
Publication Status: Published
Reuse Statement (publisher, data, author rights): This article has been published in a revised form in Journal of Applied Probability http://dx.doi.org/10.1017/jpr.2021.24. This version is free to view and download for private research and study only. Not for re-distribution or re-use. © The Author(s), 2021. Published by Cambridge University Press on behalf of Applied Probability Trust.
Access rights to Published version: Restricted or Subscription Access
Date of first compliant deposit: 22 December 2021
Date of first compliant Open Access: 22 May 2022

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