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Existence and Uniqueness of a Stationary and Ergodic Solution to Stochastic Recurrence Equations via Matkowski’s FPT

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  • Stelios Arvanitis

    (Athens University of Economics and Business)

Abstract

We establish the existence of a unique stationary and ergodic solution for systems of stochastic recurrence equations defined by stochastic self-maps on Polish metric spaces based on the fixed point theorem of Matkowski. The results can be useful in cases where the stochastic Lipschitz co-efficients implied by the currently used method either do not exist, or lead to the imposition of unecessarily strong conditions for the derivation of the solution.

Suggested Citation

  • Stelios Arvanitis, 2017. "Existence and Uniqueness of a Stationary and Ergodic Solution to Stochastic Recurrence Equations via Matkowski’s FPT," Working Papers 201702, Athens University Of Economics and Business, Department of Economics.
    • Handle: RePEc:aeb:wpaper:201702:y:2017
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