An elementary proof for an extended version of the Choquet-Deny theorem

The Choquet-Deny theorem on an integral equation is extended using an elementary technique based on a certain inequality for exchangeable random variables. Previous proofs for partial results have involved amongst other things the Hewitt-Savage zero-one law and the martingale convergence theorem. In view of the importance of the Choquet-Deny theorem in stochastic processes and allied topics, the new result and its proof appear to be worth reporting.

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Year of publication:	1991
Authors:	Rao, C. Radhakrishna ; Shanbhag, D. N.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 38.1991, 1, p. 141-148
Publisher:	Elsevier
Keywords:	Choquet-Deny theorem Hewitt-Savage zero-one law exchangeable random variables integrated Cauchy equation renewal theorem martingale convergence theorem

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005153264