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. Further, we prove a martingale identity to be used in obtaining explicit bounds for the expectation of first passage times.
Original language | English |
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Pages (from-to) | 197-210 |
Number of pages | 14 |
Journal | Stochastics |
Volume | 80 |
Issue number | 2-3 |
DOIs | |
Publication status | Published - Apr 2008 |