Bounds for the probability to leave the interval

Journal

Statistics and Probability Letters
ISSN: 0167-7152

Output data

Year: 2019, Volume: 145, Pages: 141-146 Pages count : 6 DOI: 10.1016/j.spl.2018.09.012

Tags

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

Authors

Lotov V.I. ^1,2

Affiliations

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