Extremal solutions for stochastic equations indexed by negative integers and taking values in compact groups

Stochastic equations indexed by negative integers and taking values in compact groups are studied. Extremal solutions of the equations are characterized in terms of infinite products of independent random variables. This result is applied to characterize several properties of the set of all solutions in terms of the law of the driving noise.

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Year of publication:	2010
Authors:	Hirayama, Takao ; Yano, Kouji
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 120.2010, 8, p. 1404-1423
Publisher:	Elsevier
Keywords:	Stochastic equation Markov process Extremal point Infinite convolution Independent complement

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875821