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On an extension of min-semistable distributions

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Języki publikacji
EN
Abstrakty
EN
This work focuses on a functional equation which extends the notion of min-semistable distributions. Our main results are an existence theorem and a characterization theorem for its solutions. The first establishes the existence of a class of solutions of this equation under a condition on the first zero on the positive axis of the associated structure function. The second shows that solutions belonging to a subclass of complementary distribution functions can be identified by their behavior at the origin. Our constructed solutions are in this subclass. The uniqueness question is also discussed.
Słowa kluczowe
Rocznik
Strony
303--323
Opis fizyczny
Bibliogr. 21 poz.
Twórcy
autor
  • Departement de Mathématique, LAGA, Institut Galilée, Université de París 13 et CNRS (UMR 7539), 93439, Villetaneuse, France
autor
  • Departement de Physique, LPTM, Université de Cergy-Pontoise, et CNRS (UMR 8089), 2, Avenue A. Chauvin, 95032, Cergy-Pontoise Cedex, France
autor
  • École Polytechnique, CPTH, École Polytechnique, 91128 Palaiseau, France
Bibliografia
  • [1] G. Alsmeyer and U. Rosier, A stochastic fixed point equation for weighted minima and maxima, Universität Münster, Preprintreihe Angewandte Mathematik, 01/05-S Reference (2005), available at http://www-computerlabor.math.uni-kiel.de/stochastik/roesler.
  • [2] J. Barral, Une extension de Гequation fonctionnelle de В. Mandelbrot, C.R. Acad. Sci. Paris 326, Serie 1 (1998), pp. 421-426.
  • [3] M. Ben Alaya and T. Huillet, On Max-Multiscaling Distributions as extended Max-Semi- stable ones, Stoch. Models 20 (4) (2004), pp. 493-512.
  • [4] J. D. Biggins, Martingale convergence in the branching random walk, J. Appl. Probab. 14 (1977), pp. 25-37.
  • [5] N. H. Bingham and R. A. Doney, Asymptotic properties of supercritical branching processes. I. The Galton-Watson process, Adv. Appl. Probab. 6 (1974), pp. 711-731.
  • [6] N. Вourbaki, Topologie genérale, Livre III, Chapitre 10. Espaces fonctionnels, 2ème edition, Actualités Sci. Indust. No. 1084, Hermann, Paris 1961.
  • [7] A. Caliebe, Symmetrie fixed points of a smoothing transformation, Adv. Appl. Probab. 35 (2003), pp. 377-394.
  • [8] A. Caliebe, Representation of fixed points of a smoothing transformation, Mathematics and Computer Science III, Trends Math. (2004), pp. 311-324.
  • [9] R. A. Doney, A limit theorem for a class of supercritical branching processes, J. Appl. Probab. 9 (1972), pp. 707-724.
  • [10] R. A. Doney, On a functional equation for general branching processes, J. Appl. Probab. 10 (1973), pp. 198-205.
  • [11] R. Durrett and T. M. Liggett, Fixed points of the smoothing transformation, Z. Wahrsch. Yerw. Gebiete 64 (1983), pp. 275-301.
  • [12] W. Feller, An Introduction to Probability Theory and Its Applications, Vol. 2, Wiley, New York 1971.
  • [13] Y. Guivarc’h, Sur une extension de la notion de loi semi-stable, Ann. Inst. H. Poincare Probab. Statist. 26 (2) (1990), pp. 261-285.
  • [14] R. Holley and T. M. Liggett, Generalized potlach and smoothing processes, Z. Wahrsch. Verw. Gebiete 55 (1981), pp. 165-195.
  • [15] T. Huillet, A. Porzio and M. Ben Alaya, On the physical relevance of max- and logmax-selfsimilar distributions, Eur. Phys. J. В 17 (2000), pp. 147-158.
  • [16] J.-P. Kahane and J. Peyriere, Sur certaines martingales de Benoit Mandelbrot, Adv. in Math. 22 (1976), pp. 131-145.
  • [17] Q. Liu, Sur une equation fonctionnelle et ses applications: une extension de théoreme de Kesten-Stigum concernant des processus de branchement, Adv. Appl. Probab. 29 (1997), pp. 353-373.
  • [18] Q. Liu, Fixed points of a generalized smoothing transformation and applications to the branching random walk, Adv. Appl. Probab. 30 (1998), pp. 85-112.
  • [19] В. B. Mandelbrot, Multiplications aléatoires et distributions invariantes par moyenne pondérée aléatoire, C.R. Acad. Sci. Paris 278, Serie 1 (1974), pp. 289-292.
  • [20] В. B. Mandelbrot, Multiplications aléatoires et distributions invariantes par moyenne pondérée aléatoire: quelques extensions, C.R. Acad. Sei. Paris 278, Serie 1 (1974), pp. 355-358.
  • [21] C. R. Rao and D. N. Shanbhag, Choquet-Deny Type Functional Equations with Applications to Stochastic Models, Wiley Ser. Probab. Math. Stat, Chichester, 1994.
Typ dokumentu
Bibliografia
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