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Approximating Perpetuities

✍ Scribed by Margarete Knape; Ralph Neininger

Book ID
106457294
Publisher
Springer US
Year
2007
Tongue
English
Weight
526 KB
Volume
10
Category
Article
ISSN
1387-5841

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The distribution of stochastically discounted sums (perpetuities) is studied. For Bernoulli-type variables a canonical representation of this distribution is obtained, and it is proven to be singular continuous. In the asymptotic setting of the change-point estimation problem the limiting behavior o