Absolute Continuity of Complex Martingales and of Solutions to Complex Smoothing Equations

Abstract

Let X be a C-valued random variable with the property that X \ has the same law as \ Σj1 Tj Xj where Xj are i.i.d.\ copies of X, which are independent of the (given) C-valued random variables (Tj)j1. We provide a simple criterion for the absolute continuity of the law of X that requires, besides the known conditions for the existence of X, only finiteness of the first and second moment of N - the number of nonzero weights Tj. Our criterion applies in particular to Biggins' martingale with complex parameter.

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