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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