Martingales and first passage times of AR(1) sequences

Novikov, A; Kordzakhia, N

Martingales and first passage times of AR(1) sequences

Novikov, A

Kordzakhia, N

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

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Field	Value	Language
dc.contributor.author	Novikov, A https://orcid.org/0000-0001-8529-173X	en_US
dc.contributor.author	Kordzakhia, N	en_US
dc.date.issued	2008-04-01	en_US
dc.identifier.citation	Stochastics, 2008, 80 (2-3), pp. 197 - 210	en_US
dc.identifier.issn	1744-2508	en_US
dc.identifier.uri	http://hdl.handle.net/10453/81830
dc.description.abstract	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.	en_US
dc.relation.ispartof	Stochastics	en_US
dc.relation.isbasedon	10.1080/17442500701840885	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	Martingales and first passage times of AR(1) sequences	en_US
dc.type	Journal Article
utslib.citation.volume	2-3	en_US
utslib.citation.volume	80	en_US
utslib.for	1599 Other Commerce, Management, Tourism and Services	en_US
utslib.for	01 Mathematical Sciences	en_US
utslib.for	15 Commerce, Management, Tourism and Services	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	2-3	en_US
pubs.publication-status	Published	en_US
pubs.volume	80	en_US

Abstract:

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.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/8323