Operator decomposable measures and stochastic difference equations

DOI10.1007/S10959-013-0534-8zbMATH Open1328.60012arXiv1312.7647OpenAlexW2101546446MaRDI QIDQ895907FDOQ895907

C. R. E. Raja

Publication date: 7 December 2015

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

Abstract: We consider the following convolution equation or equivalently stochastic difference equation ${\displaystyle }$lam _k = mu _k*phi (lam _{k-1}), k in � eqno (1) ${\displaystyle }$ for a given bi-sequence $(m{u}_k)$ of probability measures on $R^d$ and a linear map $phi$ on $R^d$. We study the solutions of equation (1) by realizing the process $(m{u}_k)$ as a measure on $$ and rewriting the stochastic difference equation as $lam=mu*au(lam)$-any such measure $lam$ on $$ is known as $au$-decomposable measure with co-factor $mu$-where $au$ is a suitable weighted shift operator on $$. This enables one to study the solutions of (1) in the settings of $au$-decomposable measures. A solution $(la{m}_k)$ of (1) will be called a fundamental solution if any solution of (1) can be written as $la{m}_k*ph{i}^k(ho)$ for some probability measure $ho$ on $R^d$. Motivated by the splitting/factorization theorems for operator decomposable measures, we address the question of existence of fundamental solutions when a solution exists and answer affirmatively via a one-one correspondence between fundamental solutions of (1) and strongly $au$-decomposable measures on $$ with co-factor $mu$. 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 $el{l}_p$-paths.

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

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zbMATH Keywords

stochastic difference equationprobability measuresconvolution productlinear mapcontraction subspaceoperator 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)

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Cited In (2)

• Operator theoretic phenomena of the Markov operators which are induced by stochastic difference equations
• Structure of mixing and category of complete mixing for stochastic operators

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