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The first exit time of the autoregressive process beyond a level and an application to the disorder problem. (Russian) Zbl 0702.60048
The exit time \(\tau_ A\) of level A of an autoregressive first order stochastic process Y is investigated both for discrete and continuous time. A relation between E \(\tau\) \({}_ A\) and the expectation of an integral expression which includes \(Y_{\tau_ A}\) is established. Applications to the disorder problem are given.
Reviewer: F.Liese

MSC:
60G40 Stopping times; optimal stopping problems; gambling theory
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