Advances in Applied Probability · 1986 · 49 citations · 2 references
Natural SciencesMathematicsDifferential EquationsProbability TheoryStochastic ProcessesDifference EquationsErgodic TheoryStationarity AnalysisStationary ProcessesStochastic Differential EquationsStochastic StabilityDifference Equation ModelsStationary Random ProcessesStationary SequencesStochastic Difference Equations
In this note we deal with the stochastic difference equation of the form Y n +1 = A n Y n + B n , n ∊ℤ, where the sequence is assumed to be strictly stationary and ergodic. By means of simple arguments a unique stationary solution of this equation is constructed. The stability of the stationary solution is the second subject of investigation. It is shown that under some additional assumptions
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