Embedding a stochastic difference equation into a continuous-time process

Haan, L. de. ; Karandikar, R. L. (1989) Embedding a stochastic difference equation into a continuous-time process Stochastic Processes and their Applications, 32 (2). pp. 225-235. ISSN 0304-4149

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Official URL: http://www.sciencedirect.com/science/article/pii/0...

Related URL: http://dx.doi.org/10.1016/0304-4149(89)90077-X

Abstract

A concept of divisibility is introduced for stochastic difference equations. Infinite divisibility then leads to a continuous time process in which a nested sequence of divisible stochastic difference equations can be embedded.

Item Type:Article
Source:Copyright of this article belongs to Elsevier Science.
Keywords:Stochastic Difference Equation; Divisibility; Infinite Divisibility; Embedding; Continuous Time
ID Code:73321
Deposited On:02 Dec 2011 10:30
Last Modified:02 Dec 2011 10:30

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