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Collections :	Ιδρυματικό Αποθετήριο ΟΠΑ / AUEB Institutional Repository Σχολή Οικονομικών Επιστημών / School of Economics Τμήμα Οικονομικής Επιστήμης / Department of Economics Ερευνητικά δοκίμια / Working papers

Title :	Existence and uniqueness of a stationary and ergodic solution to stochastic recurrence equations via Matkowski’s FPT

Creator :	Arvanitis, Stelios

Type :	Text

Notes :	This research was funded by the Research Centre of the Athens Univer-sity of Economics and Business, in the framework of ”Research Funding at AUEB for Excellence and Extroversion”.

Extent :	6 pages

Identifier :	http://www.pyxida.aueb.gr/index.php?op=view_object&object_id=5297

Abstract :	We establish the existence of a unique stationary and ergodic solution for systems of stochastic recurrence equations defined by stochastic self-maps on Polish metric spaces based on the fixedpoint theorem of Matkowski. The results can be useful in cases where the stochastic Lipschitz co-efficients implied by the currently used method either do not exist, or lead to the imposition ofunecessarily strong conditions for the derivation of the solution.

Abstract :

We establish the existence of a unique stationary and ergodic solution for systems of stochastic recurrence equations defined by stochastic self-maps on Polish metric spaces based on the fixedpoint theorem of Matkowski. The results can be useful in cases where the stochastic Lipschitz co-efficients implied by the currently used method either do not exist, or lead to the imposition ofunecessarily strong conditions for the derivation of the solution.

Subject :	stochastic recurrence equations stationarity ergodicity Matkowski’s FPT comparison function

Date Available :	2017-03-13 16:09:56

Date Issued :	03/13/2017

Date Submitted :	2017-03-13 16:09:56

Access Rights :	Free access

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File: Arvanitis_2017_w.pdf

Type: application/pdf

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