Pawel Hitczenko, Drexel University

Light-tailed Perpetuities
Feb 13, 2012, 12:30 pm1:30 pm
103 - Bendheim Center for Finance


Event Description

Perpetuities are random variables that appear quite frequently in various aspects of applied mathematics and other fields of science. They have been studied systematically since the influential paper by Kesten in 1973. In this talk I will introduce and review the main 'classical' results in the (more frequently encountered) heavy‐tailed situation and will also discuss recent progress that has been made in the general theory of light‐ tailed perpetuities.

Event Category
Probability Seminar