Bounds for the probability to leave the interval | Sciact - Система учета научной деятельности ИМ СО РАН

Журнал

Statistics and Probability Letters
ISSN: 0167-7152

Вых. Данные

Год: 2019, Том: 145, Страницы: 141-146 Страниц : 6 DOI: 10.1016/j.spl.2018.09.012

Ключевые слова

Random walk; Ruin probability; Sequential probability ratio test; Two-sided boundary crossing problem

Авторы

Lotov V.I. ^1,2

Организации

1	Sobolev Institute of Mathematics, Novosibirsk, 630090, Russian Federation
2	Novosibirsk State University, Novosibirsk, 630090, Russian Federation

We obtain upper and lower bounds for the probability that random walk leaves the strip through the upper boundary.

Lotov V.I.
Bounds for the probability to leave the interval
Statistics and Probability Letters. 2019. V.145. P.141-146. DOI: 10.1016/j.spl.2018.09.012 WOS Scopus OpenAlex