Martingales and first passage times of AR(1) sequences
Author:
Affiliation:
1. a Department of Mathematical Sciences , University of Technology , Sydney, NSW, 2007, Australia
2. b Department of Statistics , Macquarie University , Sydney, NSW, 2109, Australia
Publisher
Informa UK Limited
Subject
Modelling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442500701840885
Reference16 articles.
1. Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1
2. Optimal Surveillance Based on Exponentially Weighted Moving Averages
3. Fluctuation identities for lévy processes and splitting at the maximum
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