Martingales and First Passage Times of AR(1) Sequences

Alex Novikov and Nino Kordzakhia

No 205, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

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 and use it for obtaining explicit bounds for the expectation of exit times.

Keywords: first passage times; autoregressive processes; martingales; expenential boundedness (search for similar items in EconPapers)
Pages: 15 pages
Date: 2007-10-01
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published as: Novikov, A. and Kordzakhia, N., 2008, "Martingales and First Passage Times of AR(1) Sequences", Stochastics An International Journal of Probability and Stochastic Processes, 80(2-3), 197-210.

Downloads: (external link)
https://www.uts.edu.au/sites/default/files/qfr-archive-02/QFR-rp205.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:uts:rpaper:205

Access Statistics for this paper

More papers in Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford ().