Asymptotics for exponential functionals of random walks

Wei Xu

Stochastic Processes and their Applications, 2023, vol. 165, issue C, 1-42

Abstract: This paper provides a detailed description for the asymptotics of exponential functionals of random walks with light/heavy tails. We give the convergence rate based on the key observation that the asymptotics depends on the sample paths with either slowly decreasing local minimum or final value below a low level. Also, our thoughtful analysis of the interrelationship between the local minimum and the final value provides the exact expression for the limiting coefficients in terms of some transformations of the random walk.

Keywords: Random walk; Exponential functional; Spitzer’s condition; Domain of attraction; Regular variation (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spa.2023.07.013

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