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

Takao Hirayama and Kouji Yano

Stochastic Processes and their Applications, 2010, vol. 120, issue 8, 1404-1423

Abstract: 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.

Keywords: Stochastic; equation; Markov; process; Extremal; point; Infinite; convolution; Independent; complement (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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