Martingales and first passage times of AR(1) sequences

DOI10.1080/17442500701840885zbMATH Open1148.60061arXiv0712.3468OpenAlexW1984206429MaRDI QIDQ3498583FDOQ3498583

Authors: N. Kordzakhia, A. Novikov 

Publication date: 15 May 2008

Published in: Stochastics (Search for Journal in Brave)

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.

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

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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)

Cites Work

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