The Annals of Probability

The functional equation of the smoothing transform

Gerold Alsmeyer, J. D. Biggins, and Matthias Meiners

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Abstract

Given a sequence $T=(T_{i})_{i\geq1}$ of nonnegative random variables, a function $f$ on the positive halfline can be transformed to $\mathbb{E}\prod_{i\geq1}f(tT_{i})$. We study the fixed points of this transform within the class of decreasing functions. By exploiting the intimate relationship with general branching processes, a full description of the set of solutions is established without the moment conditions that figure in earlier studies. Since the class of functions under consideration contains all Laplace transforms of probability distributions on $[0,\infty)$, the results provide the full description of the set of solutions to the fixed-point equation of the smoothing transform, $X\stackrel{d}{=}\sum_{i\geq1}T_{i}X_{i}$, where $\stackrel{d}{=}$ denotes equality of the corresponding laws, and $X_{1},X_{2},\ldots$ is a sequence of i.i.d. copies of $X$ independent of $T$. Further, since left-continuous survival functions are covered as well, the results also apply to the fixed-point equation $X\stackrel{d}{=}\inf\{X_{i}/T_{i} : i\geq1,T_{i}>0\}$. Moreover, we investigate the phenomenon of endogeny in the context of the smoothing transform and, thereby, solve an open problem posed by Aldous and Bandyopadhyay.

Article information

Source
Ann. Probab., Volume 40, Number 5 (2012), 2069-2105.

Dates
First available in Project Euclid: 8 October 2012

Permanent link to this document
https://projecteuclid.org/euclid.aop/1349703316

Digital Object Identifier
doi:10.1214/11-AOP670

Mathematical Reviews number (MathSciNet)
MR3025711

Zentralblatt MATH identifier
1266.39022

Subjects
Primary: 39B22: Equations for real functions [See also 26A51, 26B25]
Secondary: 60E05: Distributions: general theory 60J85: Applications of branching processes [See also 92Dxx] 60G42: Martingales with discrete parameter

Keywords
Branching process branching random walk Choquet–Deny-type functional equation endogeny fixed point general branching process multiplicative martingales smoothing transformation stochastic fixed-point equation Weibull distribution weighted branching

Citation

Alsmeyer, Gerold; Biggins, J. D.; Meiners, Matthias. The functional equation of the smoothing transform. Ann. Probab. 40 (2012), no. 5, 2069--2105. doi:10.1214/11-AOP670. https://projecteuclid.org/euclid.aop/1349703316


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