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))

MaRDI QIDQ5050503zbMATH OpenFDO

Authors Feda G. Rahimov, Irada A. Ibadova, Vugar S. Xalilov

Publication date 17 November 2022

Full work available at URL http://trans.imm.az/volumes/36-1/36-01-14.pdf

zbMATH Keywords

first exit timerandom walksfirst order autoregression process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

Recommendations

• Limit theorem for the first passage time of the level by the random walk described by nonlinear function of the autoregression process of order one \(AR(1)\)
• scientific article; zbMATH DE number 7638799
• Limit theorems for the family of the first passage time of the level by random walk described by a nonlinear function of the autoregressive process of order one \((AR(1))\)
• Limit theorems for the random walk described by the autoregression process of order one
• On the Asymptotical Behavior of One Class of the First Exit Time of a Multidimensional Random Walk

Cites work

• scientific article; zbMATH DE number 6533343 (Why is no real title available?)
• scientific article; zbMATH DE number 4151536 (Why is no real title available?)
• scientific article; zbMATH DE number 3766893 (Why is no real title available?)
• scientific article; zbMATH DE number 192907 (Why is no real title available?)
• scientific article; zbMATH DE number 7638804 (Why is no real title available?)
• Convergence of stochastic processes
• Integral limit theorem for the first passage time for the level of random walk, described with \(AR (1)\) sequences
• Nonlinear Markov renewal theory with statistical applications
• On Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences

Cited in

(5)

• Exit times for multivariate autoregressive processes
• scientific article; zbMATH DE number 7638799 (Why is no real title available?)
• On the Asymptotical Behavior of One Class of the First Exit Time of a Multidimensional Random Walk
• Limit theorem for the first passage time of the level by the random walk described by nonlinear function of the autoregression process of order one \(AR(1)\)
• Exit times for some autoregressive processes with non-Gaussian noise distributions

This page was built for publication: 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 \((AR (1))\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5050503)