Inequalities in a Two-Sided Boundary Crossing Problem for Stochastic Processes Full article
| Journal |
Siberian Mathematical Journal
ISSN: 0037-4466 , E-ISSN: 1573-9260 |
||||||
|---|---|---|---|---|---|---|---|
| Output data | Year: 2021, Volume: 62, Number: 3, Pages: 455-461 Pages count : 7 DOI: 10.1134/s0037446621030083 | ||||||
| Tags | stationary stochastic process with independent increments, first exit time, boundary crossing problem, ruin probability | ||||||
| Authors |
|
||||||
| Affiliations |
|
Funding (1)
| 1 | Sobolev Institute of Mathematics | 0314-2016-0008 |
Abstract:
Considering a stationary stochastic process with independent increments (L´evy process), we study the probability of the first exit from a strip through its upper boundary. We find the two-sided inequalities for this probability under various conditions on the process.
Cite:
Lotov V.I.
, Khodjibayev V.R.
Inequalities in a Two-Sided Boundary Crossing Problem for Stochastic Processes
Siberian Mathematical Journal. 2021. V.62. N3. P.455-461. DOI: 10.1134/s0037446621030083 WOS Scopus OpenAlex
Inequalities in a Two-Sided Boundary Crossing Problem for Stochastic Processes
Siberian Mathematical Journal. 2021. V.62. N3. P.455-461. DOI: 10.1134/s0037446621030083 WOS Scopus OpenAlex
Original:
Лотов В.И.
, Ходжибаев В.Р.
Неравенства в задаче с двумя границами для случайных процессов
Сибирский математический журнал. 2021. Т.62. №3. С.563-571. DOI: 10.33048/smzh.2021.62.308 OpenAlex
Неравенства в задаче с двумя границами для случайных процессов
Сибирский математический журнал. 2021. Т.62. №3. С.563-571. DOI: 10.33048/smzh.2021.62.308 OpenAlex
Dates:
| Submitted: | Sep 8, 2020 |
| Accepted: | Nov 18, 2020 |
| Published print: | Jun 21, 2021 |
Identifiers:
| Web of science: | WOS:000655743500008 |
| Scopus: | 2-s2.0-85107178444 |
| OpenAlex: | W3168926170 |