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

embedding; infinite divisibility; stochastic difference equation; process with stationary and independent increments; stationary initial distribution

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

60J25: Continuous-time Markov processes on general state spaces

60H99: Stochastic analysis

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Cites Work

• Calcul stochastique et problèmes de martingales
• On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
• Stochastic integration w.r.t. continuous local martingales
• 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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