On some inequalities in boundary crossing problems for random walks

V. I. Lotov

doi:10.33048/SEMI.2020.17.044

On some inequalities in boundary crossing problems for random walks

V. I. Lotov

Section of Probability Theory and Mathematical Statistics

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

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.

Original language	English
Pages (from-to)	661-671
Number of pages	11
Journal	Сибирские электронные математические известия
Volume	17
DOIs	https://doi.org/10.33048/SEMI.2020.17.044
Publication status	Published - 30 Apr 2020

Keywords

Random walk
Ruin probability
Trajectory supremum
Two-sided boundary crossing problem

OECD FOS+WOS

1.01 MATHEMATICS

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10.33048/SEMI.2020.17.044

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title = "On some inequalities in boundary crossing problems for random walks",

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.",

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KW - Ruin probability

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ER -

On some inequalities in boundary crossing problems for random walks

Abstract

Keywords

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