Stochastic differential equation driven by a pure-birth process
Volume 78 / 2002
Annales Polonici Mathematici 78 (2002), 11-23
MSC: Primary 34F05; Secondary 60B10, 60J05.
DOI: 10.4064/ap78-1-2
Abstract
A generalization of the Poisson driven stochastic differential equation is considered. A sufficient condition for asymptotic stability of a discrete time-nonhomogeneous Markov process is proved.
