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arXiv math/0508371math.PRmath.DS
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非齐次随机差分方程解的几乎必然收敛

Almost Sure Convergence of Solutions to Non-Homogeneous Stochastic Difference Equation

Gregory Berkolaiko, Alexandra Rodkina

摘要:

研究了一类非齐次非线性随机差分方程X_{n+1} = Xn(1 + f(Xn)<$n+1})+Sn及其重要特例X_{n+1} = Xn(1 + f(Xn)<$n+1})+Sn,它们都具有初值X 0、非随机衰减自由系数Sn和独立随机变量Sn.我们建立了解X_n收敛到零的\as结果.我们找到的必要条件将噪声ε_n的某些矩和S_n的衰减率联系在一起。为了确定条件的精确性,我们讨论了X_n发散的几种情形.我们还建立了关于X_n衰减到零的速率的一个结果。

英文摘要:

We consider a non-homogeneous nonlinear stochastic difference equation X_{n+1} = X_n (1 + f(X_n)ξ_{n+1}) + S_n, and its important special case X_{n+1} = X_n (1 + ξ_{n+1}) + S_n, both with initial value X_0, non-random decaying free coefficient S_n and independent random variables ξ_n. We establish results on \as convergence of solutions X_n to zero. The necessary conditions we find tie together certain moments of the noise ξ_n and the rate of decay of S_n. To ascertain sharpness of our conditions we discuss some situations when X_n diverges. We also establish a result concerning the rate of decay of X_n to zero.

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