Embedding a stochastic difference equation into a continuous-time process
A concept of divisibility is introduced for stochastic difference equations. Infinite divisibility then leads to a continuous time process in which a nested sequence of divisible stochastic difference equations can be embedded.
Year of publication: |
1989
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Authors: | de Haan, L. ; Karandikar, R. L. |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 32.1989, 2, p. 225-235
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Publisher: |
Elsevier |
Keywords: | Stochastic difference equation divisibility infinite divisibility embedding continuous time |
Saved in:
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