Random difference equations with subexponential innovations

摘要

We consider the random difference equations S =_d(X + S)Y and T =_dX + TY, where =_ddenotes equality in distribution, X and Y are two nonnegative random variables, and S and T on the right hand side are independent of(X, Y). Under the assumptions that X follows a subexponential distribution with a nonzero lower Karamata index, that Y takes values in [0, 1] and is not degenerate at 0 or 1, and that(X, Y) fulfills a certain dependence structure via the conditional tail probability of X given Y, we derive some asymptotic formulas for the tail probabilities of the weak solutions S and T to these equations. In doing so we also obtain some by products which are interesting in their own right.