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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| Dokumentumtípus: | Cikk |
| Megjelent: |
Bolyai Institute, University of Szeged
Szeged
2007
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| Sorozat: | Acta scientiarum mathematicarum
73 No. 3-4 |
| Kulcsszavak: | Matematika, Sztochasztikus rekurziós egyenlet |
| Tárgyszavak: | |
| Online Access: | http://acta.bibl.u-szeged.hu/16213 |
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| 040 | |a SZTE Egyetemi Kiadványok Repozitórium |b hun | ||
| 041 | |a eng | ||
| 100 | 1 | |a Aue Alexander | |
| 245 | 1 | 2 | |a A note on the existence of solutions to a stochastic recurrence equation |h [elektronikus dokumentum] / |c Aue Alexander |
| 260 | |a Bolyai Institute, University of Szeged |b Szeged |c 2007 | ||
| 300 | |a 767-779 | ||
| 490 | 0 | |a Acta scientiarum mathematicarum |v 73 No. 3-4 | |
| 520 | 3 | |a 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. | |
| 650 | 4 | |a Természettudományok | |
| 650 | 4 | |a Matematika | |
| 695 | |a Matematika, Sztochasztikus rekurziós egyenlet | ||
| 700 | 0 | 1 | |a Berkes István |e aut |
| 700 | 0 | 1 | |a Horváth Lajos |e aut |
| 856 | 4 | 0 | |u http://acta.bibl.u-szeged.hu/16213/1/math_073_numb_003_004_767-779.pdf |z Dokumentum-elérés |