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Usage of Processes with Continuous Time in the Study of Stochastic Recurrent Sequences / Goldaeva A.A. // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika. 2010. № 6. P. 13-18 [Moscow Univ. Math. Bulletin. Vol. 65, No 6, 2010. P. 233-237]. The paper proposes a new approach connected with consideration of stochastic difference sequences like sequences of observations (in deterministic or random moments of time) of a continuous time process satisfying a stochastic differential equation.
Key words: stochastic difference equation, tail index,
stochastic differential equation, Laplace transformation.
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