Limit theorems for discounted convergent perpetuities II

Let $(ξ_1, η_1)$, $(ξ_2, η_2),\ldots$ be independent identically distributed $\mathbb{R}^2$-valued random vectors. Assuming that $ξ_1$ has zero mean and finite variance and imposing three distinct groups of assumptions on the distribution of $η_1$ we prove three functional limit theorems for the logarithm of convergent discounted perpetuities $\sum_{k\geq 0}e^{ξ_1+\ldots+ξ_k-ak}η_{k+1}$ as $a\to 0+$. Also, we prove a law of the iterated logarithm which corresponds to one of the aforementioned functional limit theorems. The present paper continues a line of research initiated in the paper Iksanov, Nikitin and Samoillenko (2022), which focused on limit theorems for a different type of convergent discounted perpetuities.

No reviews yet.

No comments yet.