On a continuous analogue of the stochastic difference equation Xn=[rho]Xn-1+Bn

Stephen James Wolfe

Stochastic Processes and their Applications, 1982, vol. 12, issue 3, 301-312

Abstract: Let B1, B2, ... be a sequence of independent, identically distributed random variables, letX0 be a random variable that is independent ofBn forn[greater-or-equal, slanted]1, let [rho] be a constant such that 0 +[infinity] if and only ifE[log+|B(1)|]

Date: 1982
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