Martingales and first passage times of AR(1) sequences

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dc.contributor.author Novikov, A
dc.contributor.author Kordzakhia, N
dc.date.accessioned 2010-05-28T09:42:27Z
dc.date.issued 2007-12-21
dc.identifier.citation 2007
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/8323
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 (AR(1)). Further, we prove a martingale identity to be used in obtaining explicit bounds for the expectation of first passage times.
dc.title Martingales and first passage times of AR(1) sequences
dc.type Journal Article
dc.journal.number 2-3 en_US
dc.publocation England en_US
dc.publocation Vienna
dc.identifier.startpage 197 en_US
dc.identifier.endpage 210 en_US
dc.cauo.name SCI.Mathematical Sciences en_US
dc.conference Verified OK en_US
dc.for 1599 Other Commerce, Management, Tourism and Services
dc.personcode 991062
dc.percentage 100 en_US
dc.classification.name Other Commerce, Management, Tourism and Services en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.edition 1
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords math.PR
dc.description.keywords math.PR
dc.description.keywords math.PR
dc.description.keywords math.PR
dc.description.keywords 34A30, 60J55, 49J15
dc.description.keywords 34A30, 60J55, 49J15
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Science
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.copyright.date 2015-04-15 12:17:09.805752+10
pubs.consider-herdc true
pubs.consider-herdc true
utslib.collection.history School of Mathematical Sciences (ID: 340)
utslib.collection.history Closed (ID: 3)


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