Random Series with Time-Varying Discounting

被引：0
|
作者：
Donchev, Doncho S. [1 ]
机构：
[1] Sofia Univ St Kliment Ohridski, Fac Math & Informat, Sofia, Bulgaria
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2011年 / 40卷 / 16期
关键词：
GARCH(1,1) and ARCH processes; Mellin transform; Meyer G-functions; Stochastic recurrence equations; EQUATION;
D O I：
10.1080/03610926.2011.562772
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Let xi(1), xi(2), ... be i.i.d. non negative random variables. Consider the series 1 + Sigma(infinity)(n=1) Pi(n)(i=1) xi(i). It turns out that its partial sums are equal to some random determinants. This allows us to represent the original series as an infinite product of random variables that form a Markov chain. The limit behavior of the series depends on the stationary distribution of this chain. Making use of the Mellin transform, we study the relationship between this distribution and the distribution of xi(1).
引用
收藏
页码：2866 / 2878
页数：13
相关论文
共 50 条
  • [1] A TRANSMISSION PROBLEM FOR WAVES UNDER TIME-VARYING DELAY AND TIME-VARYING WEIGHTS
    Nonato, Carlos A. S.
    Raposo, Carlos A.
    Bastos, Waldemar D.
    METHODS AND APPLICATIONS OF ANALYSIS, 2022, 29 (03) : 229 - 248
  • [2] Time-varying media, relativity, and the arrow of time
    Koivurova, Matias
    Robson, Charles W.
    Ornigotti, Marco
    OPTICA, 2023, 10 (10): : 1398 - 1406
  • [3] Discrete time-scale characterization of wideband time-varying systems
    Jiang, Y
    Papandreou-Suppappola, A
    IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2006, 54 (04) : 1364 - 1375
  • [4] Direct Method for Time-Varying Nonlinear Filtering Problems
    Chen, Xiuqiong
    Luo, Xue
    Yau, Stephen S. -T.
    IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS, 2017, 53 (02) : 630 - 639
  • [5] On the stability properties of a damped oscillator with a periodically time-varying mass
    van Horssen, W. T.
    Pischanskyy, O. V.
    JOURNAL OF SOUND AND VIBRATION, 2011, 330 (13) : 3257 - 3269
  • [6] Decaying dark matter mimicking time-varying dark energy
    Dutta, Sourish
    Scherrer, Robert J.
    PHYSICAL REVIEW D, 2010, 82 (04):
  • [7] Improved finite-time zeroing neural network for time-varying division
    Gerontitis, Dimitris
    Behera, Ratikanta
    Sahoo, Jajati Keshari
    Stanimirovic, Predrag S.
    STUDIES IN APPLIED MATHEMATICS, 2021, 146 (02) : 526 - 549
  • [8] Stabilization of slowly time-varying discrete systems with state delays
    Medina, Rigoberto
    JOURNAL OF DIFFERENCE EQUATIONS AND APPLICATIONS, 2013, 19 (04) : 667 - 679
  • [9] On μ-stability of a Nicholson's blowflies model with unbounded time-varying delay
    Duan, Lian
    Qian, Yinjie
    APPLIED MATHEMATICS LETTERS, 2022, 133
  • [10] Forecasting the future: Is it possible for adiabatically time-varying nonlinear dynamical systems?
    Yang, Rui
    Lai, Ying-Cheng
    Grebogi, Celso
    CHAOS, 2012, 22 (03)
12345