Does anyone know how one can show ergodicity for a recursive stochastic process determined by the following equation: \begin{equation} X_n = f(\varepsilon_{n-1},Y_{n-1})X_{n-1}, \end{equation} where $(Y_n)_{n>0}$ is a given stationary process $(\varepsilon_n)_{n>0}$ is an i.i.d. sequence, and f isn't specified? Or maybe someone knows good references for the problem?
2026-03-28 20:52:25.1774731145
Ergodicity of stochastic recursive process
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