A generalized backwards scheme for solving non monotonic stochastic recursions
classification
🧮 math.PR
math.DS
keywords
solutionspaceconditionsextensionoriginalstochasticapplyassumed
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We propose an explicit construction of a stationary solution for a stochastic recursion of the form $X\circ\theta=\phi(X)$ on a partially-ordered Polish space, when the monotonicity of $\phi$ is not assumed. Under certain conditions, we show that an extension of the original probability space exists, on which a solution is well-defined, and construct explicitly this extension. We then provide conditions for the solution to be defined as well on the original space. We finally apply these results to the stability study of two non-monotonic queueing systems.
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