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Martingales and First Passage Times of AR(1) Sequences

Author

Listed:
  • Alex Novikov
  • 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.

Suggested Citation

  • Alex Novikov & Nino Kordzakhia, 2007. "Martingales and First Passage Times of AR(1) Sequences," Research Paper Series 205, Quantitative Finance Research Centre, University of Technology, Sydney.
    • Handle: RePEc:uts:rpaper:205
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    File URL: https://www.uts.edu.au/sites/default/files/qfr-archive-02/QFR-rp205.pdf
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    Cited by:

    1. Timofei Bogomolov, 2013. "Pairs trading based on statistical variability of the spread process," Quantitative Finance, Taylor & Francis Journals, vol. 13(9), pages 1411-1430, September.

    More about this item

    Keywords

    first passage times; autoregressive processes; martingales; expenential boundedness;
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