On Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences

DOI10.1137/S0040585X97983730zbMath1204.62143MaRDI QIDQ3556735

Alexander Novikov

Publication date: 26 April 2010

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingmartingalesfirst passage timeexponential boundednessautoregressive sequences

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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