Persistence of one-dimensional AR(1)-sequences
From MaRDI portal
Publication:2297316
DOI10.1007/s10959-018-0850-0zbMath1431.60070arXiv1801.04485OpenAlexW2964317764WikidataQ129424887 ScholiaQ129424887MaRDI QIDQ2297316
Martin Kolb, Günter Hinrichs, Vitali Wachtel
Publication date: 18 February 2020
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1801.04485
Discrete-time Markov processes on general state spaces (60J05) Stopping times; optimal stopping problems; gambling theory (60G40)
Related Items (5)
Persistence of heavy-tailed sample averages: principle of infinitely many big jumps ⋮ Persistence for a class of order-one autoregressive processes and Mallows-Riordan polynomials ⋮ General criteria for the study of quasi-stationarity ⋮ Persistence exponents via perturbation theory: AR(1)-processes ⋮ Persistence exponents in Markov chains
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Banach lattices
- R-theory for Markov chains on a general state space. I: Solidarity properties and R-recurrent chains
- R-theory for Markov chains on a general state space. II: r-subinvariant measures for r-transient chains
- Recurrence and transience of contractive autoregressive processes and related Markov chains
- Asymptotic behavior of absorbing Markov chains conditional on nonabsorption for applications in conservation biology
- Return probabilities for random walk on a half-line
- Persistence exponents in Markov chains
- An overview of semi-continuity results on the spectral radius and positivity
- Meromorphic families of compact operators
- Quasi-positive operators
- Exponential convergence to quasi-stationary distribution and \(Q\)-process
- Survival probabilities of weighted random walks
- Quasi-Stationary Distributions
- Exponential convergence to quasi-stationary distribution for absorbed one-dimensional diffusions with killing
- Martingales and first passage times of AR(1) sequences
- On Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences
- An Operator Residue Theorem with Applications to Branching Processes and Renewal Type Integral Equations
- A first passage time distribution for a discrete version of the Ornstein–Uhlenbeck process
- Phase-Type Distributions and Optimal Stopping for Autoregressive Processes
- Spectral properties of the ${\Cal K}$-positive operators and inclusion theorems for the spectral radius
This page was built for publication: Persistence of one-dimensional AR(1)-sequences
