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A Characterization of the Compound-Exponential Type Distributions

  Published:2011-05-13
 Printed: Sep 2011
  • Tea-Yuan Hwang,
    Graduate School of Mathematical Sciences, Aletheia University, Tamsui Taipei 25103, Taiwan, ROC
  • Chin-Yuan Hu,
    Department of Business Education, National Changhua University of Education, Changhua 50058, Taiwan, ROC
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Abstract

In this paper, a fixed point equation of the compound-exponential type distributions is derived, and under some regular conditions, both the existence and uniqueness of this fixed point equation are investigated. A question posed by Pitman and Yor can be partially answered by using our approach.
Keywords: fixed point equation, compound-exponential type distributions fixed point equation, compound-exponential type distributions
MSC Classifications: 62E10, 60G50 show english descriptions Characterization and structure theory
Sums of independent random variables; random walks
62E10 - Characterization and structure theory
60G50 - Sums of independent random variables; random walks
 

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