Drift criteria for persistence of discrete stochastic processes on the line with examples of application

Giulio Bottazzi and Pietro Dindo

LEM Papers Series from Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy

Abstract: We provide sufficient conditions for the persistence or transience of stochastic processes on the real line based on the behavior of the first and second moment of their conditional increments at the boundaries. Our findings extend previous results in the literature (Lamperti, 1960) to the large class of discrete-time processes with bounded increments. We present some examples of application in the domain of economics.

Keywords: Discrete-time stochastic processes; asymptotic behavior; persistence and transience (search for similar items in EconPapers)
Date: 2015-09-10
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:ssa:lemwps:2015/26

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