Usage of processes with continuous time in the study of stochastic recurrent sequences

DOI10.3103/S0027132210060033MaRDI QIDQ2513175zbMATH OpenFDO

Authors Anna A. Goldaeva

Publication date 2 February 2015

Published in Moscow University Mathematics Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/S0027132210060033

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• A multivariate and asymmetric generalization of Laplace distribution
• Extremal behavior of recurrent random sequences
• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables

Cited in

(4)

• Higher difference structure of some discrete processes
• Bounds for the extremal index of stochastic recurrent sequences
• Uniform estimator of the extremal index of stochastic recurrent sequences
• Stochastic Sequences with a Regenerative Structure that May Depend Both on the Future and on the Past

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