We consider the stochastic difference equation
${{\eta }_{k}}\,=\,{{\xi }_{k}}\phi \left( {{\eta }_{k-1}} \right),\,\,k\,\in \,\mathbb{Z}$ on a locally compact group
$G$, where
$\phi $ is an automorphism of
$G$,
${{\xi }_{K}}$ are given
$G$-valued random variables, and
${{\eta }_{k}}$ are unknown
$G$-valued random variables. This equation was considered by Tsirelson and Yor on a one-dimensional torus. We consider the case when
${{\xi }_{K}}$ have a common law
$\mu $ and prove that if
$G$ is a distal group and
$\phi $ is a distal automorphism of
$G$ and if the equation has a solution, then extremal solutions of the equation are in one-to-one correspondence with points on the coset space
$K\backslash G$ for some compact subgroup
$K$ of
$G$ such that
$\mu $ is supported on
$Kz\,=\,z\phi \left( K \right)$ for any
$z$ in the support of
$\mu $. We also provide a necessary and sufficient condition for the existence of solutions to the equation.