On the stochastic equation ℒ(X) = ℒ[B(X + C)] and a property of gamma distributions

Bernoulli

Volumn 2, Issue 3, 1996, Pages 287-291

  Dufresne, Daniel ^a  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

Discounted sums; Gamma variables; Hypergeometric functions

Indexed keywords

EID: 0000120036     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/bj/1178291724     Document Type: Article

References (7)

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3. Dufresne, D. (1995) On certain properties of gamma distributions. Research report, Department of Mathematics and Statistics, University of Montreal.
4. Embrechts, P. and Goldie, G.M. (1994) Perpetuities and random equations. In P. Mandl and M. Huskova (eds), Asymptotic Statistics: Proceedings of the Fifth Prague Symposium, 4-9 Sept. 1993, pp. 75-86. Heidelberg: Physica-Verlag.
5. Lebedev, N.N. (1972) Special Functions and Their Applications. New York: Dover.
6. Letac, G. (1986) A contraction principle for certain Markov chains and its applications. Contemp. Math. (AMS), 50, 263-273.
7. Vervaat, W. (1979) On a stochastic difference equation and a representation of non-negative infinitely divisible random variables. Adv. Appl. Probab., 11, 750-783