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

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:120

Article

Hirayama, Takao²  Yano, Kouji¹ 

[1] Kobe Univ, Grad Sch Sci, Dept Math, Kobe, Hyogo 657, Japan

[2] Ritsumeikan Univ, Dept Math Sci, Shiga, Japan

关键词: Stochastic equation;    Markov process;    Extremal point;    Infinite convolution;    Independent complement;   

DOI  :  10.1016/j.spa.2010.04.003

来源: Elsevier

【 摘 要 】

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. (C) 2010 Elsevier B.V. All rights reserved.

【 授权许可】

Free