The stochastic equation P(t+1)=A(t)P(t)+B(t) with non-stationary coefficients

Ulrich Horst

No 2000,5, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: In this paper we consider the stochastic sequence {Pt}E N defined recursively by the linear relation Pt+1 = At Pt + Bt in a random environment which is described by the non-stationary process V = {(At, Bt) t E N.. We formulate sufficient conditions on v which ensure that the finite-dimensional distributions of {Pt} E N converge weakly to the finite-dimensional distribution of a unique stationary process. If the driving sequence v has a nice tail behaviour, then we can establish a global convergence result. This extends results of Brandt (1986) and Borovkov (1998) from the stationary to the non-stationary ease.

Keywords: stochastic difference equation; stochastic stability; ergodicity (search for similar items in EconPapers)
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:20005

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