On the use of the deterministic Lyapunov function for the erogdicity of stochastic difference equations
Chan, K.S; and Tong, Howell
(1985)
On the use of the deterministic Lyapunov function for the erogdicity of stochastic difference equations.
Advances in Applied Probability, 17 (3).
pp. 666-678.
ISSN 0001-8678
We have shown that within the setting of a difference equation it is possible to link ergodicity with stability via the physical notion of energy in the form of a Lyapunov function.
| Item Type | Article |
|---|---|
| Keywords | stability |
| Departments |
Economics Statistics |
| Date Deposited | 08 Jul 2008 08:58 |
| URI | https://researchonline.lse.ac.uk/id/eprint/6489 |