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ОБ АСИМПТОТИКЕ ВЕРОЯТНОСТИ НЕВЫХОДА НЕОДНОРОДНОГО ОБОБЩЕННОГО ПРОЦЕССА ВОССТАНОВЛЕНИЯ ЗА НЕВОЗРАСТАЮЩУЮ ГРАНИЦУ Full article

Journal Сибирские электронные математические известия (Siberian Electronic Mathematical Reports)
, E-ISSN: 1813-3304
Output data Year: 2021, Volume: 18, Number: 2, Pages: 1667-1688 Pages count : 22 DOI: 10.33048/SEMI.2021.18.127
Tags Boundary crossing problems; Compound renewal process; Continuous time random walk; Exit times; Moving boundaries; Non-homogeneous process
Authors Shelepova A. 1 , Sakhanenko A. 2
Affiliations
1 Novosibirsk State University, 1,Pirogova str., Novosibirsk, 630090, Russian Federation
2 Sobolev Institute of Mathematics, 4,Acad. Koptyug ave., Novosibirsk, 630090, Russian Federation

Funding (1)

1 Sobolev Institute of Mathematics 0314-2019-0008

Abstract: We consider a non-homogeneous compound renewal process, which is also known as a cumulative renewal process, or a continuous time,random walk. We suppose that the jump sizes have zero means and finite,variances, whereas the renewal-times has moments of order greater than,3/2. We investigate the asymptotic behaviour of the probability that this,process is staying above a moving non-increasing boundary up to time T,which tends to infinity. Our main result is a generalization of a similar,one for homogeneous compound renewal process, due to A. Sakhanenko,,V. Wachtel, E. Prokopenko, A. Shelepova (2021) © 2021, Siberian Electronic Mathematical Reports. All Rights Reserved.
Cite: Shelepova A. , Sakhanenko A.
ОБ АСИМПТОТИКЕ ВЕРОЯТНОСТИ НЕВЫХОДА НЕОДНОРОДНОГО ОБОБЩЕННОГО ПРОЦЕССА ВОССТАНОВЛЕНИЯ ЗА НЕВОЗРАСТАЮЩУЮ ГРАНИЦУ
Сибирские электронные математические известия (Siberian Electronic Mathematical Reports). 2021. V.18. N2. P.1667-1688. DOI: 10.33048/SEMI.2021.18.127 WOS Scopus OpenAlex
Identifiers:
Web of science: WOS:000756374700001
Scopus: 2-s2.0-85124126627
OpenAlex: W4206560814
Citing: Пока нет цитирований
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