an:04151536
Zbl 0702.60048
Novikov, A. A.
The first exit time of the autoregressive process beyond a level and an application to the disorder problem
RU
Teor. Veroyatn. Primen. 35, No. 2, 282-292 (1990).
00174475
1990
j
60G40
autoregressive process; exit time; disorder problem
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.
F.Liese