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An elementary proof for an extended version of the Choquet-Deny theorem

Author

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  • Rao, C. Radhakrishna
  • Shanbhag, D. N.

Abstract

The Choquet-Deny theorem on an integral equation is extended using an elementary technique based on a certain inequality for exchangeable random variables. Previous proofs for partial results have involved amongst other things the Hewitt-Savage zero-one law and the martingale convergence theorem. In view of the importance of the Choquet-Deny theorem in stochastic processes and allied topics, the new result and its proof appear to be worth reporting.

Suggested Citation

  • Rao, C. Radhakrishna & Shanbhag, D. N., 1991. "An elementary proof for an extended version of the Choquet-Deny theorem," Journal of Multivariate Analysis, Elsevier, vol. 38(1), pages 141-148, July.
    • Handle: RePEc:eee:jmvana:v:38:y:1991:i:1:p:141-148
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    Cited by:

    1. Joseph B. Kadane & Jiashun Jin, 2014. "Uniform Distributions on the Integers: A connection to the Bernouilli Random Walk," Econometric Reviews, Taylor & Francis Journals, vol. 33(1-4), pages 372-378, June.

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