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arXiv · 1410.1708

A Random Difference Equation with Dufresne Variables revisited

Jean-François Chamayou
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Abstract

The Dufresne laws (laws of product of independent random variables with gamma and beta distributions) occur as stationary distribution of certain Markov chains $ X_n $ on $ R$ defined by: \begin{equation} X_n = A_n ( X_{n-1} + B_n ) \end{equation} where $ X_0 , (A_1,B_1),...,(A_n,B_n) $ are independent and the $(A_i,B_i)'$s are identically distributed. This paper generalizes an explicit example where $A$ is the product of two independent $β_{a,1} , β_{b,1} $ and $B \sim γ_1 $ or $ γ_2 $. Keywords: beta, gamma and Dufresne distributions,Markov chains, stationary distributions, hypergeometric differential equations, Poisson process.

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Jean-François Chamayou. 2014-10-07. A Random Difference Equation with Dufresne Variables revisited. https://arxiv.org/abs/1410.1708

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