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On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations

Published online by Cambridge University Press:  01 July 2016

K. S. Chan  and
H. Tong
K. S. Chan*
Affiliation:
The Chinese University of Hong Kong
H. Tong*
Affiliation:
The Chinese University of Hong Kong
*
∗Postal address: Department of Statistics, University Science Centre, The Chinese University of Hong Kong, Shatin, N. T., Hong Kong.
∗Postal address: Department of Statistics, University Science Centre, The Chinese University of Hong Kong, Shatin, N. T., Hong Kong.
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Abstract

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.

Keywords

STABILITY
Type
Research Article
Information
Advances in Applied Probability , Volume 17 , Issue 3 , September 1985 , pp. 666 - 678
Copyright
Copyright © Applied Probability Trust 1985 

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