Operator decomposable measures and stochastic difference equations

DOI10.1007/S10959-013-0534-8MaRDI QIDQ895907zbMATH OpenOpenAlexFDO

Publication date 7 December 2015

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.7647

stochastic difference equation probability measures convolution product linear map contraction subspace operator decomposable measures

Mathematics Subject Classification ID

Probability theory on linear topological spaces (60B11) Sums of independent random variables; random walks (60G50) Stochastic difference equations (39A50)

Abstract: We consider the following convolution equation or equivalently stochastic difference equation

lam _k = mu _k*phi (lam _{k-1}), k in � eqno (1)

for a given bi-sequence

(m u_{k})

of probability measures on

R^{d}

and a linear map

p h i

on

R^{d}

. We study the solutions of equation (1) by realizing the process

(m u_{k})

as a measure on

and rewriting the stochastic difference equation as

l a m = m u * a u (l a m)

-any such measure

l a m

on

is known as

a u

-decomposable measure with co-factor

m u

-where

a u

is a suitable weighted shift operator on

. This enables one to study the solutions of (1) in the settings of

a u

-decomposable measures. A solution

(l a m_{k})

of (1) will be called a fundamental solution if any solution of (1) can be written as

l a m_{k} * p h i^{k} (h o)

for some probability measure

h o

on

R^{d}

. Motivated by the splitting/factorization theorems for operator decomposable measures, we address the question of existence of fundamental solutions when a solution exists and answer affirmatively via a one-one correspondence between fundamental solutions of (1) and strongly

a u

-decomposable measures on

with co-factor

m u

. We also prove that fundamental solutions are extremal solutions and vice versa. We provide a necessary and sufficient condition in terms of a logarithmic moment condition for the existence of a (fundamental) solution when the noise process is stationary and when the noise process has independent

e l l_{p}

-paths.

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