Existence and uniqueness of a stationary and ergodic solution to stochastic recurrence equations via Matkowski’s FPT
Ημερομηνία
03/13/2017
Συγγραφείς
Arvanitis, Stelios
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Διαθέσιμο από
2017-03-13 16:09:56
Περίληψη
We establish the existence of a unique stationary and ergodic solution for systems of stochastic recurrence equations defined by stochastic self-maps on Polish metric spaces based on the fixedpoint theorem of Matkowski. The results can be useful in cases where the stochastic Lipschitz co-efficients implied by the currently used method either do not exist, or lead to the imposition ofunecessarily strong conditions for the derivation of the solution.
Περιγραφή
Λέξεις-κλειδιά
stochastic recurrence equations, stationarity, ergodicity, Matkowski’s FPT, comparison function