On some inequalities in boundary crossing problems for random walks Full article
| Journal |
Сибирские электронные математические известия (Siberian Electronic Mathematical Reports)
, E-ISSN: 1813-3304 |
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| Output data | Year: 2020, Volume: 17, Pages: 661-671 Pages count : 11 DOI: 10.33048/semi.2020.17.044 | ||||
| Tags | random walk, two-sided boundary crossing problem, ruin probability, trajectory supremum | ||||
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Abstract:
We obtain new upper and lower bounds for the probability
that random walk with negative drift leaves the strip through the upper
boundary. It is assumed that distributions of the walk increments do not
have an exponential moment. The accuracy of known inequalities for the
distribution of trajectory supremum is analyzed.
Cite:
Лотов В.И.
On some inequalities in boundary crossing problems for random walks
Сибирские электронные математические известия (Siberian Electronic Mathematical Reports). 2020. Т.17. С.661-671. DOI: 10.33048/semi.2020.17.044 WOS Scopus OpenAlex
On some inequalities in boundary crossing problems for random walks
Сибирские электронные математические известия (Siberian Electronic Mathematical Reports). 2020. Т.17. С.661-671. DOI: 10.33048/semi.2020.17.044 WOS Scopus OpenAlex
Dates:
| Submitted: | Mar 2, 2020 |
| Published print: | Apr 30, 2020 |
Identifiers:
| Web of science: | WOS:000529944400001 |
| Scopus: | 2-s2.0-85089226849 |
| OpenAlex: | W3035872282 |