A note on the existence of solutions to a stochastic recurrence equation

We provide a characterization of strictly stationary solutions to the stochastic recurrence equation zk = c(eK_I)zK_I + g(ek-1) with Borelmeasurable functions c and g, and independent, identically distributed random variables {£&}. Strictly stationary solutions that are functions of the past, re...

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Elmentve itt :
Bibliográfiai részletek
Szerzők: Aue Alexander
Berkes István
Horváth Lajos
Dokumentumtípus: Cikk
Megjelent: Bolyai Institute, University of Szeged Szeged 2007
Sorozat:Acta scientiarum mathematicarum 73 No. 3-4
Kulcsszavak:Matematika, Sztochasztikus rekurziós egyenlet
Tárgyszavak:
Online Access:http://acta.bibl.u-szeged.hu/16213
Leíró adatok
Tartalmi kivonat:We provide a characterization of strictly stationary solutions to the stochastic recurrence equation zk = c(eK_I)zK_I + g(ek-1) with Borelmeasurable functions c and g, and independent, identically distributed random variables {£&}. Strictly stationary solutions that are functions of the past, respectively, of the future exist if and only if the expected value Slog |c(eo)| is negative, respectively, positive. The main result of the paper is to show that there is no solution that is a function of the past or the future if E log jc(eo) | = 0.
Terjedelem/Fizikai jellemzők:767-779
ISSN:0001-6969