Strong solutions of Tsirel'son's equation in discrete time taking values in compact spaces with semigroup action

DOI10.1016/J.SPL.2012.11.033MaRDI QIDQ1950709zbMATH OpenOpenAlexWikidataFDO

Authors Takao Hirayama, Kouji Yano

Publication date 13 May 2013

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1005.0038, http://hdl.handle.net/2433/168705

zbMATH Keywords

infinite products of random variablesstochastic recursion equationstrong solution

Mathematics Subject Classification ID

Generation, random and stochastic difference and differential equations (37H10) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: Under the assumption that the infinite product of evolution process converges almost surely, the set of strong solutions are characterized by a compact space, which may be regarded as the set of possible initial states.

Review text

Let \(\Sigma\) be a compact topological semigroup acting on some compact space \(S\). For a given sequence \((N_k)_{k\in-\mathbb N}\) of independent \(\Sigma\)-valued variables, the authors study whether the stochastic recurrence equation \(X_k=N_kX_{k-1}\) for \(k\in-\mathbb N\) admits a solution. It turns out that a solution exists if \(\lim_{l\to-\infty} N_k\dotsm N_{l+1}\) exists almost surely for all \(k\in-\mathbb N\).

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Cited in

(4)

• Tsirel'son's equation in discrete time
• Stochastic equations on compact groups in discrete negative time
• Around Tsirelson's equation, or: the evolution process may not explain everything
• Extremal solutions for stochastic equations indexed by negative integers and taking values in compact groups

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