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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 80, 2008 - Issue 2-3: A Festschrift for Priscilla Greenwood
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Original Articles

Martingales and first passage times of AR(1) sequences

Alexander Novikov Department of Mathematical Sciences, University of Technology, Sydney, NSW, 2007, AustraliaCorrespondence[email protected]
&
Nino Kordzakhia Department of Statistics, Macquarie University, Sydney, NSW, 2109, Australia
Pages 197-210 | Received 17 Sep 2007, Accepted 15 Nov 2007, Published online: 10 Oct 2008

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Sören Christensen & Albrecht Irle. (2019) A general method for finding the optimal threshold in discrete time. Stochastics 91:5, pages 728-753.
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Albrecht Irle. (2014) Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci. Sequential Analysis 33:2, pages 165-168.
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Timofei Bogomolov. (2013) Pairs trading based on statistical variability of the spread process. Quantitative Finance 13:9, pages 1411-1430.
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Sören Christensen, Albrecht Irle & Alexander Novikov. (2011) An Elementary Approach to Optimal Stopping Problems for AR(1) Sequences. Sequential Analysis 30:1, pages 79-93.
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Günter Hinrichs, Martin Kolb & Vitali Wachtel. (2018) Persistence of One-Dimensional AR(1)-Sequences. Journal of Theoretical Probability 33:1, pages 65-102.
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Milan Korda, Ravi Gondhalekar, Frauke Oldewurtel & Colin N. Jones. (2014) Stochastic MPC Framework for Controlling the Average Constraint Violation. IEEE Transactions on Automatic Control 59:7, pages 1706-1721.
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Sören Christensen. (2016) Phase-Type Distributions and Optimal Stopping for Autoregressive Processes. Journal of Applied Probability 49:1, pages 22-39.
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Sören Christensen. (2016) Phase-Type Distributions and Optimal Stopping for Autoregressive Processes. Journal of Applied Probability 49:01, pages 22-39.
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Reza Rastegar, Alexander Roitershtein, Vadim Roytershteyn & Jiyeon Suh. (2012) Discrete-Time Langevin Motion in a Gibbs Potential. Applied Mathematics 03:12, pages 2032-2037.
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Александр Александрович Новиков, Aleksandr Aleksandrovich Novikov, Александр Александрович Новиков & Aleksandr Aleksandrovich Novikov. (2008) Несколько замечаний о распределении времени первого выхода и оптимальной остановке AR(1)-последовательностейOn Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences. Теория вероятностей и ее применения Teoriya Veroyatnostei i ee Primeneniya 53:3, pages 458-471.
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. (2016) Advances in Applied Probability Volume 30 (1998): Index: General Applied Probability . Advances in Applied Probability 30:4, pages 1157-1159.
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