Martingales and first passage times of AR(1) sequences

Stochastics

Volumn 80, Issue 2-3, 2008, Pages 197-210

  Novikov, Alexander ^a   Kordzakhia, Nino ^b  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

^b MACQUARIE UNIVERSITY   (Australia)

Author keywords

Autoregressive processes; Exponential boundedness; First passage times; Martingales

Indexed keywords

EID: 40249090516     PISSN: 17442508     EISSN: 17442516     Source Type: Journal    
DOI: 10.1080/17442500701840885     Document Type: Article

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