A generalized backwards scheme for solving non monotonic stochastic recursions

Details A generalized backwards scheme for solving non monotonic stochastic recursions A generalized backwards scheme for solving non monotonic stochastic recursions

2010-09-07

arxiv.org/abs/1009.1235v1

Mathematics

Probability

Scientific paper

We propose an explicit construction of a stationary solution for a stochastic recursion of the form $X\circ\theta=\phi(X)$ on a partially-ordered Polish space, when the monotonicity of $\phi$ is not assumed. Under certain conditions, we show that an extension of the original probability space exists, on which a solution is well-defined, and construct explicitly this extension. We then provide conditions for the solution to be defined as well on the original space. We finally apply these results to the stability study of two non-monotonic queueing systems.

Affiliated with

Also associated with

No associations

Rating

A generalized backwards scheme for solving non monotonic stochastic recursions does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A generalized backwards scheme for solving non monotonic stochastic recursions, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A generalized backwards scheme for solving non monotonic stochastic recursions will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-704519