Bounds for the probability to leave the interval

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1 Citation (Scopus)

Abstract

We obtain upper and lower bounds for the probability that random walk leaves the strip through the upper boundary. (C) 2018 Elsevier B.V. All rights reserved.

Original languageEnglish
Pages (from-to)141-146
Number of pages6
JournalStatistics and Probability Letters
Volume145
DOIs
Publication statusPublished - 1 Feb 2019

Keywords

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

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