Weak Solutions of stochastic recursions: an explicit construction
Probability
2010-09-08 v2
Abstract
We propose an explicit construction of the solution of a stationary stochastic recursion of the form on a semi-ordered Polish space, when the monotonicity of is not assumed. This solution exists on an enriched probability space (it is said \emph{weak}), provided the recursion is lattice-valued, and dominated by a proper monotonic stochastic recursion.
Cite
@article{arxiv.0904.3240,
title = {Weak Solutions of stochastic recursions: an explicit construction},
author = {Pascal Moyal},
journal= {arXiv preprint arXiv:0904.3240},
year = {2010}
}
Comments
This paper has been withdrawn by the author. This paper has been posted on ArXiv in a newer version