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This article is cited in 11 scientific papers (total in 11 papers)
On the first exit time of an autoregressive process beyond a level and an application to the “change-point” problem
A. A. Novikov
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Theory of Probability and its Applications, 1990, 35:2, 269–279
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Received: 24.09.1987
Citation:
A. A. Novikov, “On the first exit time of an autoregressive process beyond a level and an application to the “change-point” problem”, Teor. Veroyatnost. i Primenen., 35:2 (1990), 282–292; Theory Probab. Appl., 35:2 (1990), 269–279
Citation in format AMSBIB
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\jour Theory Probab. Appl.
\yr 1990
\vol 35
\issue 2
\pages 269--279
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http://mi.mathnet.ru/eng/tvp996 http://mi.mathnet.ru/eng/tvp/v35/i2/p282
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Russian articles,
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This publication is cited in the following articles:
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A. A. Novikov, “Martingales and first passage times for Ornstein–Uhlenbeck processes with a jump component”, Theory Probab. Appl., 48:2 (2004), 288–303
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Novikov A., Melchers R.E., Shinjikashvili E., Kordzakhia N., “First passage time of filtered Poisson process with exponential shape function”, Probabilistic Engineering Mechanics, 20:1 (2005), 57–65
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A. A. Novikov, “On Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences”, Theory Probab. Appl., 53:3 (2009), 419–429
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Novikov A., Kordzakhia N., “Martingales and first passage times of AR(1) sequences”, Stochastics-An International Journal of Probability and Stochastic Processes, 80:2–3 (2008), 197–210
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Borovkov K., Novikov A., “On exit times of Levy-driven Ornstein–Uhlenbeck processes”, Statistics & Probability Letters, 78:12 (2008), 1517–1525
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Habtemicael S. SenGupta I., “Ornstein–Uhlenbeck Processes For Geophysical Data Analysis”, Physica A, 399 (2014), 147–156
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Wergen G., “Modeling Record-Breaking Stock Prices”, Physica A, 396 (2014), 114–133
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Zhang H. Hadjiliadis O. Schaefer T. Poor H.V., “Quickest Detection in Coupled Systems”, SIAM J. Control Optim., 52:3 (2014), 1567–1596
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Brodsky B., “Change-Point Analysis in Nonstationary Stochastic Models”, Change-Point Analysis in Nonstationary Stochastic Models, Crc Press-Taylor & Francis Group, 2017, 1–345
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Aliev S.A., Rahimov F.H., Hashimova T.E., Farhadova A.D., Bagirova G.A., “Limit Theorems For the Family of the First Passage Time of the Parabola By a Random Walk Described By the Autoreqression Process of Order One (Ar(1))”, Proceedings of the 6Th International Conference on Control and Optimization With Industrial Applications, Vol i, eds. Fikret A., Tamer B., Baku State Univ, Inst Applied Mathematics, 2018, 65–67
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Rahimov F.H., Hashimova T.E., Farhadova A.D., Khalilov V.S., Gulieva L.V., “Limit Theorem For the First Passage Time of the Level By the Random Walk Described By Nonlinear Function of the Autoregression Process of Order One Ar(1)”, Proceedings of the 6Th International Conference on Control and Optimization With Industrial Applications, Vol II, eds. Fikret A., Tamer B., Baku State Univ, Inst Applied Mathematics, 2018, 244–246
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