Martingales and first passage times of AR(1) sequences

DOI10.1080/17442500701840885zbMath1148.60061arXiv0712.3468MaRDI QIDQ3498583

N. Kordzakhia, Alexander Novikov

Publication date: 15 May 2008

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.3468

zbMATH Keywords

martingales; first passage times; autoregressive processes; exponential boundedness

Mathematics Subject Classification ID

49J15: Existence theories for optimal control problems involving ordinary differential equations

60J55: Local time and additive functionals

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