The stochastic equation <i>Y<sub>n</sub></i><sub>+1</sub>=<i>A<sub>n</sub>Y<sub>n</sub> + B<sub>n</sub></i> with stationary coefficients
Advances in Applied ProbabilityPublished 1 March 1986
Andreas Brandt
Citations305
SJR quartileQ2
SJR score0.65
SNIP1.12
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Abstract
In this note we deal with the stochastic difference equation of the form Y n +1 = A n Y n + B n , 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 assumptions
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MathematicsMedicine
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