Solution of Stochastic Non-Homogeneous Linear First-Order Difference Equations - Journal of Mathematical Finance

JMF > Vol.4 No.4, August 2014

Journal of Mathematical Finance

Volume 4, Issue 4 (August 2014)

ISSN Print: 2162-2434 ISSN Online: 2162-2442

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Solution of Stochastic Non-Homogeneous Linear First-Order Difference Equations ()

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DOI: 10.4236/jmf.2014.44021 3,280 Downloads 4,298 Views Citations

Author(s)

Seifedine Kadry, Abdelkhalak El Hami

Affiliation(s)

American University of the Middle East, Egaila, Kuwait.
LOFIMS Laboratory, INSA de Rouen, Rouen, France.

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: x_n = x₀ + bⁿ, where the initial value x₀ and b, are random variables.

KEYWORDS

Stochastic Linear Difference Equations, Random Variables, Closed Form Solution, Direct Transformation Technique

Share and Cite:

Kadry, S. and Hami, A. (2014) Solution of Stochastic Non-Homogeneous Linear First-Order Difference Equations. Journal of Mathematical Finance, 4, 245-248. doi: 10.4236/jmf.2014.44021.

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