Operator Decomposable Measures and Stochastic Difference Equations

C. R. E. Raja ()
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C. R. E. Raja: Indian Statistical Institute (ISI)

Journal of Theoretical Probability, 2015, vol. 28, issue 3, 785-803

Abstract: Abstract We consider the following convolution equation (or equivalently stochastic difference equation) 1 $$\begin{aligned} \lambda _k = \mu _k*\phi (\lambda _{k-1}),\quad k \in {\mathbb Z}\end{aligned}$$ λ k = μ k ∗ ϕ ( λ k - 1 ) , k ∈ Z for a given bi-sequence $$(\mu _k)$$ ( μ k ) of probability measures on $${\mathbb R}^d$$ R d and a linear map $$\phi $$ ϕ on $${\mathbb R}^d$$ R d . We study the solutions of Eq. (1) by realizing the process $$(\mu _k)$$ ( μ k ) as a measure on $$({\mathbb R}^d)^{\mathbb Z}$$ ( R d ) Z and rewriting the stochastic difference equation as $$\lambda = \mu *\tau (\lambda )$$ λ = μ ∗ τ ( λ ) -any such measure $$\lambda $$ λ on $$({\mathbb R}^d)^{\mathbb Z}$$ ( R d ) Z is known as $$\tau $$ τ -decomposable measure with co-factor $$\mu $$ μ where $$\tau $$ τ is a suitable weighted shift operator on $$({\mathbb R}^d)^{\mathbb Z}$$ ( R d ) Z . This enables one to study the solutions of (1) in the settings of $$\tau $$ τ -decomposable measures. A solution $$(\lambda _k)$$ ( λ k ) of (1) will be called a fundamental solution if any solution of (1) can be written as $$\lambda _k*\phi ^k(\rho )$$ λ k ∗ ϕ k ( ρ ) for some probability measure $$\rho $$ ρ on $${\mathbb R}^d$$ R d . Motivated by the splitting/factorization theorems for operator decomposable measures, we address the question of existence of fundamental solutions when a solution exists and answer affirmatively via a one–one correspondence between fundamental solutions of (1) and strongly $$\tau $$ τ -decomposable measures on $$({\mathbb R}^d)^{\mathbb Z}$$ ( R d ) Z with co-factor $$\mu $$ μ . We also prove that fundamental solutions are extremal solutions and vice versa. We provide a necessary and sufficient condition in terms of a logarithmic moment condition for the existence of a (fundamental) solution when the noise process is stationary and when the noise process has independent $$\ell _p$$ ℓ p -paths.

Keywords: Stochastic difference equation; Probability measures; Linear map; Convolution product; Operator decomposable measures; Contraction subspace; 60B15; 60G50 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s10959-013-0534-8

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