Martingales and first passage times of AR(1) sequences

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dc.creatorNovikov, Alexander
dc.creatorKordzakhia, Nino
dc.date2007-12-20
dc.date.accessioned2026-07-07T08:51:50Z
dc.date.available2026-07-07T08:51:50Z
dc.descriptionUsing the martingale approach we find sufficient conditions for exponential boundedness of first passage times over a level for ergodic first order autoregressive sequences (AR(1)). Further, we prove a martingale identity to be used in obtaining explicit bounds for the expectation of first passage times.
dc.descriptionTo appear in a Special Volume of Stochastics: An International Journal of Probability and Stochastic Processes (http://www.informaworld.com/openurl?genre=journal%26issn=1744-2508) edited by N.H. Bingham and I.V. Evstigneev which will be reprinted as Volume 57 of the IMS Lecture Notes Monograph Series (http://imstat.org/publications/lecnotes.htm)
dc.identifierhttps://arxiv.org/abs/0712.3468
dc.identifierhttp://arxiv.org/abs/0712.3468
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/145074
dc.subjectProbability
dc.subject34A30, 60J55, 49J15
dc.titleMartingales and first passage times of AR(1) sequences
dc.typetext

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