scientific article; zbMATH DE number 15939
[For the entire collection see Zbl 0685.00020.] For the class of Gaussian Markov sequences \(\{\xi_ n,\;n\geq1\}\) determined by the restrictions on the sequence of variances and that of correlation coefficients necessary and sufficient conditions are found for almost sure convergence of \(\xi_ n\) to 0. The stochastic recurrence equation \[ X_{n+1}=(1-a_{n+1})X_ n+b_{n+1}\gamma_{n+1},\qquad n\geq 0,\quad X_ 0=0, \] is considered with real numbers \(a_ n\neq 0\), \(b_ n\neq 0\) and independent standard normal random variables \(\gamma_ n\). On the base of the obtained convergence criteria necessary and sufficient conditions for \(\{a_ n\}\) and \(\{b_ n\}\) are given for almost sure convergence of \(X_ n\) to 0.
- On almost sure stability of the solutions of stochastic recurrent equations
- Asymptotic behavior of solutions of stochastic recurrence equations in \(\mathbb{R}{}^ d\)
- scientific article; zbMATH DE number 3850183
- scientific article; zbMATH DE number 3866288
- scientific article; zbMATH DE number 219303
- Convergence of series of Gaussian Markov sequences
- scientific article; zbMATH DE number 3850183 (Why is no real title available?)
- scientific article; zbMATH DE number 3866288 (Why is no real title available?)
- scientific article; zbMATH DE number 219303 (Why is no real title available?)
- scientific article; zbMATH DE number 843958 (Why is no real title available?)
- Necessary and sufficient conditions for convergence to zero of a multidimensional Gaussian Markov sequence
- Necessary and sufficient conditions for convergence to zero of a multidimensional Gaussian Markov sequence
- On almost sure stability of the solutions of stochastic recurrent equations
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3972582)
