The stochastic equation Yn+1=AnYn + Bn with stationary coefficients
Author:
- Andreas BrandtABAndreas Brandt
- 1 March 1986
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 18 (1) , 211-220
Abstract
In this note we deal with the stochastic difference equation of the form Yn+1 = AnYn + Bn, n∊ℤ, where the sequence is assumed to be strictly stationary and ergodic. By means of simple arguments a unique stationary solution of this equation is constructed. The stability of the stationary solution is the second subject of investigation. It is shown that under some additional assumptionsKeywords
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