Nonlinear stochastic difference equations driven by martingales

被引：1

作者：

Zhang, B

Zhang, JX

Kannan, D ^{[1
]}

机构：

[1] Univ Georgia, Dept Math, Athens, GA 30602 USA

[2] Renmin Univ China, Sch Stat, Ctr Appl Stat, Beijing, Peoples R China

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2005年 / 23卷 / 06期

关键词：

difference equations; martingales;

D O I：

10.1080/07362990500292775

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We provide in this paper a systematic development of nonlinear stochastic difference equations driven by martingales (that depend on a spatial parameter); three such equations are considered. We begin with the existence and uniqueness of solutions and continue with the study of stochastic properties, such as the martingale and Markov properties, along with phi irreducibility and recurrence. We discuss in the final section the discrete-time flow and asymptotic flow properties of the solution process.

引用

页码：1277 / 1304

页数：28

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