TITLE:
Solution of Stochastic Non-Homogeneous Linear First-Order Difference Equations
AUTHORS:
Seifedine Kadry, Abdelkhalak El Hami
KEYWORDS:
Stochastic Linear Difference Equations, Random Variables, Closed Form Solution, Direct Transformation Technique
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.4 No.4,
August
18,
2014
ABSTRACT:
In this paper, the closed
form solution of the non-homogeneous linear first-order
difference equation is given. The studied equation is in the form: xn = x0 + bn,
where the initial value x0 and b, are random variables.