TY  - JOUR
AB  - 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.
AU  - Novikov, A
AU  - Kordzakhia, N
DA  - 2008/04/01
DO  - 10.1080/17442500701840885
EP  - 210
JO  - Stochastics
PY  - 2008/04/01
SP  - 197
TI  - Martingales and first passage times of AR(1) sequences
VL  - 80
Y1  - 2008/04/01
Y2  - 2026/06/18
ER  -