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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