On Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences
From MaRDI portal
Publication:3556735
Recommendations
- Martingales and first passage times of AR(1) sequences
- scientific article; zbMATH DE number 862390
- Integral limit theorem for the first passage time for the level of random walk, described with \(AR (1)\) sequences
- On the moments of some first-passage times
- Exit times for past-dependent systems
- On the first entry time of a \(\mathbb{Z}_+\)-valued AR(1) process
- scientific article; zbMATH DE number 7638799
- Limit theorems for first passage times associated with a sequence of correlated random variables
Cited in
(11)- Modeling record-breaking stock prices
- Probabilistic solutions of integral equations from optimal control
- scientific article; zbMATH DE number 7638799 (Why is no real title available?)
- On asymptotic behavior of the mean value of the family of the first exit time of random walk described by a nonlinear function of first order autoregression process \((AR (1))\)
- On the first passage time for autoregressive processes
- scientific article; zbMATH DE number 7638804 (Why is no real title available?)
- Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci
- Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci
- scientific article; zbMATH DE number 7619246 (Why is no real title available?)
- Martingales and first passage times of AR(1) sequences
- Persistence of one-dimensional AR(1)-sequences
This page was built for publication: On Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3556735)
