The stochastic equation Yt+1 = AtYt + Bt with non-stationary coefficients

DOI10.1239/jap/996986645zbMath0988.60034OpenAlexW1487541440MaRDI QIDQ2731153

Ulrich Horst

Publication date: 30 June 2002

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/996986645

zbMATH Keywords

ergodicitystochastic stabilitystochastic difference equation

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic stability in control theory (93E15) Limit theorems in probability theory (60F99)

Related Items (11)

On an autoregressive process driven by a sequence of Gaussian cylindrical random variables ⋮ Investments in random environments ⋮ Stochastic stability of monotone economies in regenerative environments ⋮ On a modified version of the Lindley recursion ⋮ QMLE for periodic time-varying asymmetric log GARCH models ⋮ Equilibria in financial markets with heterogeneous agents: a probabilistic perspective ⋮ A stochastic-difference-equation model for hedge-fund returns ⋮ Asymptotic behavior for Markovian iterated function systems ⋮ A multiplicative version of the Lindley recursion ⋮ Stability of linear stochastic difference equations in strategically controlled random environments ⋮ QMLE of periodic time-varying bilinear– GARCH models

This page was built for publication: The stochastic equation Y_t+1 = A_tY_t + B_t with non-stationary coefficients