期刊论文详细信息
STOCHASTIC PROCESSES AND THEIR APPLICATIONS 卷:125
Two-sided bounds for Lp-norms of combinations of products of independent random variables
Article
Damek, Ewa1  Latala, Rafal2  Nayar, Piotr2  Tkocz, Tomasz3 
[1] Univ Wroclaw, Inst Math, PL-50384 Wroclaw, Poland
[2] Univ Warsaw, Inst Math, PL-02097 Warsaw, Poland
[3] Univ Warwick, Math Inst, Coventry CV4 7AL, W Midlands, England
关键词: Estimation of moments;    Product of independent random variables;    Riesz product;    Stochastic difference equation;    Perpetuity;   
DOI  :  10.1016/j.spa.2014.11.012
来源: Elsevier
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【 摘 要 】

We show that for every positive p, the L-p-norm of linear combinations (with scalar or vector coefficients) of products of i.i.d. random variables, whose moduli have a nondegenerate distribution with the p-norm one, is comparable to the l(p)-norm of the coefficients and the constants are explicit. As a result the same holds for linear combinations of Riesz products. We also establish the upper and lower bounds of the L-p-moments of partial sums of perpetuities. (C) 2014 Elsevier B.V. All rights reserved.

【 授权许可】

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