On some inequalities in boundary crossing problems for random walks

Research output: Contribution to journalArticlepeer-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 languageEnglish
Pages (from-to)661-671
Number of pages11
JournalСибирские электронные математические известия
Volume17
DOIs
Publication statusPublished - 30 Apr 2020

Keywords

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

OECD FOS+WOS

  • 1.01 MATHEMATICS

Fingerprint

Dive into the research topics of 'On some inequalities in boundary crossing problems for random walks'. Together they form a unique fingerprint.

Cite this