On the First Passage Time of an Autoregressive Process over a Level and an Application to a “Disorder” Problem

DOI10.1137/1135035zbMath0723.60044OpenAlexW2044095641MaRDI QIDQ3210630

Alexander Novikov

Publication date: 1990

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1135035

zbMATH Keywords

first passage timeexit timeautoregressive processdisorder problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

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