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

页码：2866 / 2878

页数：13

共 50 条

[31] Finite-time output regulation by bounded linear time-varying controls with applications to the satellite formation flying
Zhang, Kai
Zhou, Bin
Jiang, Huaiyuan
Duan, Guangren
INTERNATIONAL JOURNAL OF ROBUST AND NONLINEAR CONTROL, 2022, 32 (01) : 451 - 471
[32] Orthogonal Delay Scale Space Modulation: A New Technique for Wideband Time-Varying Channels
Arunkumar, K. P.
Murthy, Chandra R.
IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2022, 70 : 2625 - 2638
[33] Data-driven Finite-horizon Optimal Control for Linear Time-varying Discrete-time Systems
Pang, Bo
Bian, Tao
Jiang, Zhong-Ping
2018 IEEE CONFERENCE ON DECISION AND CONTROL (CDC), 2018, : 861 - 866
[34] Boundedness for network of stochastic coupled van der Pol oscillators with time-varying delayed coupling
Zhang, Chunmei
Li, Wenxue
Wang, Ke
APPLIED MATHEMATICAL MODELLING, 2013, 37 (07) : 5394 - 5402
[35] Stability of linear second-order time-varying differential equations via contractive polygons
Taraba, Peter
Kitzing, Konrad
Siegmund, Stefan
SYSTEMS & CONTROL LETTERS, 2022, 162
[36] Efficient Predefined-Time Adaptive Neural Networks for Computing Time-Varying Tensor Moore-Penrose Inverse
Qi, Zhaohui
Ning, Yingqiang
Xiao, Lin
Wang, Zidong
He, Yongjun
IEEE TRANSACTIONS ON NEURAL NETWORKS AND LEARNING SYSTEMS, 2025, 36 (02) : 3659 - 3670
[37] Design and analysis of three nonlinearly activated ZNN models for solving time-varying linear matrix inequalities in finite time
Zeng, Yuejie
Xiao, Lin
Li, Kenli
Li, Jichun
Li, Keqin
Jian, Zhen
NEUROCOMPUTING, 2020, 390 : 78 - 87
[38] On resonances and the applicability of Galerkin's truncation method for an axially moving string with time-varying velocity
Malookani, Rajab A.
van Horssen, Wim T.
JOURNAL OF SOUND AND VIBRATION, 2015, 344 : 1 - 17
[39] Periodic Solutions and Global Attraction for N-Dimension Discrete-Time Neural Networks with Time-Varying Delays
Zhang, Liang
Wang, Yong
Li, Hong-Xu
Zhang, Liehui
BULLETIN OF THE BELGIAN MATHEMATICAL SOCIETY-SIMON STEVIN, 2011, 18 (03) : 483 - 491
[40] A semi-analytical solution for time-varying latent heat thermal energy storage problems
Safdari, Mojtaba
Sadeghzadeh, Sadegh
Ahmadi, Rouhollah
INTERNATIONAL JOURNAL OF ENERGY RESEARCH, 2020, 44 (04) : 2726 - 2739

← 1 2 3 4 5 →