Martingales and first passage times of AR(1) sequences

被引：18

作者：

Novikov, Alexander ^{[1
]}

Kordzakhia, Nino ^{[2
]}

机构：

[1] Univ Technol Sydney, Dept Math Sci, Sydney, NSW 2007, Australia

[2] Macquarie Univ, Dept Stat, Sydney, NSW 2109, Australia

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2008年 / 80卷 / 2-3期

关键词：

first passage times; autoregressive processes; martingales; exponential boundedness;

D O I：

10.1080/17442500701840885

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Using the martingale approach we find sufficient conditions for exponential boundedness of first passage times over a level for ergodic first order autoregressive sequences. Further, we prove a martingale identity to be used in obtaining explicit bounds for the expectation of first passage times.

引用

页码：197 / 210

页数：14

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