Radhakrishna Rao, C. ; Shanbhag, D. N. (1991) An elementary proof for an extended version of the Choquet-Deny theorem Journal of Multivariate Analysis, 38 (1). pp. 141-148. ISSN 0047-259X
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Official URL: http://linkinghub.elsevier.com/retrieve/pii/004725...
Related URL: http://dx.doi.org/10.1016/0047-259X(91)90036-2
Abstract
The Choquet-Deny theorem on an integral equation is extended using an elementary technique based on a certain inequality for exchangeable random variables. Previous proofs for partial results have involved amongst other things the Hewitt-Savage zero-one law and the martingale convergence theorem. In view of the importance of the Choquet-Deny theorem in stochastic processes and allied topics, the new result and its proof appear to be worth reporting.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Elsevier Science. |
| Keywords: | Choquet-Deny Theorem; Hewitt-Savage Zero-one Law; Exchangeable Random Variables; Integrated Cauchy Equation; Renewal Theorem; Martingale Convergence Theorem |
| ID Code: | 42484 |
| Deposited On: | 04 Jun 2011 08:57 |
| Last Modified: | 04 Jun 2011 08:57 |
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