Asymptotic Exponentiality of the Distribution of First Exit Times for a Class of Markov Processes with Applications to Quickest Change Detection

Moshe Pollak, Alexander G. Tartakovsky

We consider the first exit time of a nonnegative Harris-recurrent Markov process from the interval $[0,A]$ as $A\to \infty$. We provide an alternative method of proof of asymptotic…