Martingales and first passage times of AR(1) sequences

Taylor \& Francis 4 Park Square Milton Park Abingdon 0X14 4RN England
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Journal Article
Stochastics. An International Journal of Probability and Stochastic Processes, 2008, 80 (2-3), pp. 197 - 210
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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.
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