An elementary proof for an extended version of the Choquet-Deny theorem

C. Radhakrishna Rao and D. N. Shanbhag

Journal of Multivariate Analysis, 1991, vol. 38, issue 1, 141-148

Abstract: The Choquet-Deny theorem on an integral equation is extended using an elementary technique based on a certain inequality for exchangeable random variables. Previous proofs for partial results have involved amongst other things the Hewitt-Savage zero-one law and the martingale convergence theorem. In view of the importance of the Choquet-Deny theorem in stochastic processes and allied topics, the new result and its proof appear to be worth reporting.

Keywords: Choquet-Deny; theorem; Hewitt-Savage; zero-one; law; exchangeable; random; variables; integrated; Cauchy; equation; renewal; theorem; martingale; convergence; theorem (search for similar items in EconPapers)
Date: 1991
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