Weak Solutions of stochastic recursions: an explicit construction

arXiv0904.3240MaRDI QIDQ6213619FDOQ6213619

Authors: Pascal Moyal 

Publication date: 21 April 2009

Abstract: We propose an explicit construction of the solution of a stationary stochastic recursion of the form $Xcircheta=phi(X)$ on a semi-ordered Polish space, when the monotonicity of $phi$ 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.

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