Martingales and first passage times of AR(1) sequences

DOI10.1080/17442500701840885MaRDI QIDQ3498583zbMATH OpenOpenAlexFDO

Authors N. Kordzakhia, A. 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

first passage timesmartingalesautoregressive processesexponential boundedness

Mathematics Subject Classification ID

Existence theories for optimal control problems involving ordinary differential equations (49J15) Local time and additive functionals (60J55)

Abstract: Using 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.

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Cites work

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