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JOURNALS // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika // Archive

Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2010 Number 6, Pages 13–18 (Mi vmumm823)

This article is cited in 3 papers

Mathematics

Usage of processes with continuous time in the study of stochastic recurrent sequences

A. A. Goldaeva

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: The paper proposes a new approach connected with consideration of stochastic difference sequences like sequences of observations (in deterministic or random moments of time) of a continuous time process satisfying a stochastic differential equation.

Key words: stochastic difference equation, tail index, stochastic differential equation, Laplace transformation.

UDC: 519.21

Received: 25.11.2009



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