Embedding a stochastic difference equation into a continuous-time process

DOI10.1016/0304-4149(89)90077-XzbMath0679.60066MaRDI QIDQ1822836

Rajeeva L. Karandikar, Laurens De Haan

Publication date: 1989

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

zbMATH Keywords

embeddinginfinite divisibilitystochastic difference equationprocess with stationary and independent incrementsstationary initial distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Continuous-time Markov processes on general state spaces (60J25) Stochastic analysis (60H99)

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Cites Work

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• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• Les inegalites de sous-martingales, comme consequences de la relation de domination
• [https://portal.mardi4nfdi.de/wiki/Publication:4121258 Stabilit� des solutions des �quations diff�rentielles stochastiques application aux int�grales multiplicatives stochastiques]
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