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

2 citations · 2 across the 1 of their papers we have counts for

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1 paper

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))…