On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).

DOI10.1016/0304-4149(82)90050-3zbMath0482.60062OpenAlexW1977401558MaRDI QIDQ1162761

Publication date: 1982

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(82)90050-3

zbMATH Keywords

stochastic differential equation characteristic function stochastic difference equation

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Stochastic analysis (60H99)

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