Analysis of a stochastic difference equation: exit times and invariant distributions

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    The mean return time of a discrete Markov chainto a point x is the reciprocal of the invariant probability pi(x).We revisit this classical theme to investigate certain exit timesfor stochastic difference equations of autoregressive type.

    Original languageUndefined/Unknown
    Pages (from-to)69–74
    JournalFasciculi Mathematici
    Publication statusPublished - 2010
    MoE publication typeA1 Journal article-refereed

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