Title of article :
On a stochastic delay difference equation with boundary conditions and its Markov property
Author/Authors :
Carlos Eduardo Baccin، نويسنده , , Maria C. and Ferrante، نويسنده , , Marco، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 1995
Pages :
16
From page :
131
To page :
146
Abstract :
In the present paper we consider the one-dimensional stochastic delay difference equation with boundary condition n+F(Xn)+g(Xn−1)+ξn,X0=ψ(XN), ,…,N − 1}, N ⩾ 8 (where g(X−1) ≡ 0). We prove that under monotonicity (or Lipschitz) conditions over the coefficients f, g and ψ, there exists a unique solution {Z1,…, ZN} for this problem and we study its Markov property. The main result that we are able to prove is that the two-dimensional process {(Zn, Zn+1, 1 ⩽ n ⩽ N − 1} is a reciprocal Markov chain if and only if both the functions f and g are affine.
Keywords :
Reciprocal Markov chain , Stochastic delay difference equation
Journal title :
Stochastic Processes and their Applications
Serial Year :
1995
Journal title :
Stochastic Processes and their Applications
Record number :
1575799
Link To Document :
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