Martingales and first passage times of AR(1) sequences
classification
🧮 math.PR
keywords
firstpassagetimesmartingalesequencesapproachautoregressiveboundedness
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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.
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