Existence and Uniqueness of a Stationary and Ergodic Solution to Stochastic Recurrence Equations via Matkowski’s FPT

Stelios Arvanitis
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Stelios Arvanitis: Athens University of Economics and Business

No 201702, Working Papers from Athens University Of Economics and Business, Department of Economics

Abstract: We establish the existence of a unique stationary and ergodic solution for systems of stochastic recurrence equations defined by stochastic self-maps on Polish metric spaces based on the fixed point theorem of Matkowski. The results can be useful in cases where the stochastic Lipschitz co-efficients implied by the currently used method either do not exist, or lead to the imposition of unecessarily strong conditions for the derivation of the solution.

Keywords: Stochastic Recurrence Equations; Stationarity; Ergodicity; Matkowski’s FPT; Comparison Function. (search for similar items in EconPapers)
Pages: 6 pages
Date: 2017-02
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