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

Göran Högnäs; Brita Jung

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

Research output: Contribution to journal › Article › Scientific › peer-review

Abstract

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 language	Undefined/Unknown
Pages (from-to)	69–74
Journal	Fasciculi Mathematici
Volume	44
Publication status	Published - 2010
MoE publication type	A1 Journal article-refereed

Cite this

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AU - Jung, Brita

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