Limit theorems for some doubly stochastic processes

Oesook Lee

Statistics & Probability Letters, 1997, vol. 32, issue 2, 215-221

Abstract: We consider the stochastic processes Xk+1 = [Gamma]k+1(Xk) + Wk+1 where {[Gamma]k} is a sequence of nonlinear random functions and {Wk} is a sequence of disturbances. Sufficient conditions for the existence of a unique invariant probability are obtained. Functional central limit theorem is proved for every Lipschitzian function on R.

Keywords: Doubly; stochastic; process; Markov; process; Invariant; probability; Weak; convergence; Functional; central; limit; theorem (search for similar items in EconPapers)
Date: 1997
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