most citedMartingales and first passage times of AR(1) sequences

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math.PR2007★ 2 cited

Martingales and first passage times of AR(1) sequences

Alexander Novikov, Nino Kordzakhia

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))…

math.PR2007

On exit times of Levy-driven Ornstein--Uhlenbeck processes

K. Borovkov, A. Novikov

We prove two martingale identities which involve exit times of Levy-driven Ornstein--Uhlenbeck processes. Using these identities we find an explicit formula for the Laplace transfo…