Necessary and sufficient conditions for existence of stationary and periodic solutions of a stochastic difference equation in Hilbert space

DOI10.1016/0898-1221(90)90079-YzbMath0699.60054OpenAlexW1970914059MaRDI QIDQ913369

A. Ya. Dorogovtsev

Publication date: 1990

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(90)90079-y

zbMATH Keywords

solutionstationarystochastic difference equationsmodels in mathematical economicssufficient condition for existence and uniqueness of a periodicsufficient condition for existence and uniqueness of a periodic solution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Economic time series analysis (91B84) Stochastic analysis (60H99)

Cites Work

• Linear stochastic systems with constant coefficients. A statistical approach
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
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