A note on the Kesten--Grincevi\v{c}ius--Goldie theorem

TL;DR

This paper extends the Kesten--Grincevičius--Goldie theorem by analyzing cases where certain moments are infinite, showing that the tail probability still follows a power law multiplied by a slowly varying function, using renewal theory.

Contribution

It provides new asymptotic results for perpetuities when key moments are infinite, broadening the theorem's applicability.

Findings

Tail probability asymptotics include a slowly varying function.

Results apply under relaxed moment conditions.

Uses Goldie's renewal approach for proofs.

Abstract

Consider the perpetuity equation $X \stackrel{\mathcal{D}}{=} A X + B$, where $(A,B)$ and $X$ on the right-hand side are independent. The Kesten--Grincevi\v{c}ius--Goldie theorem states that $P \{ X > x \} \sim c x^{-\kappa}$ if $E A^\kappa = 1$, $E A^\kappa \log_+ A < \infty$, and $E |B|^\kappa < \infty$. We assume that $E |B|^\nu < \infty$ for some $\nu > \kappa$, and consider two cases (i) $E A^\kappa = 1$, $E A^\kappa \log_+ A = \infty$; (ii) $E A^\kappa < 1$, $E A^t = \infty$ for all $t > \kappa$. We show that under appropriate additional assumptions on $A$ the asymptotic $P \{ X > x \} \sim c x^{-\kappa} \ell(x) $ holds, where $\ell$ is a nonconstant slowly varying function. We use Goldie's renewal theoretic approach.