Martingales and first passage times of AR(1) sequences

Publication Type:
Journal Article
Citation:
Stochastics, 2008, 80 (2-3), pp. 197 - 210
Issue Date:
2008-04-01
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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.
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