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Martingales and First Passage Times of AR(1) Sequences

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Author Info
Alex Novikov (School of Finance and Economics, University of Technology, Sydney)
Nino Kordzakhia
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 (AR(1)). Further, we prove a martingale identity and use it for obtaining explicit bounds for the expectation of exit times.

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File URL: http://www.business.uts.edu.au/qfrc/research/research_papers/rp205.pdf
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Paper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 205.

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Length: 15
Date of creation: 01 Oct 2007
Date of revision:
Handle: RePEc:uts:rpaper:205

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Keywords: first passage times autoregressive processes martingales expenential boundedness

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