Martingales and First Passage Times of AR(1) Sequences

Alex Novikov and Nino Kordzakhia
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Alex Novikov: School of Finance and Economics, University of Technology, Sydney, http://www.business.uts.edu.au/finance/

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)
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Date: 2007-10-01
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