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

Кафедра теории вероятностей и математической статистики ММФ

Результат исследования: Научные публикации в периодических изданиях › статья

Аннотация

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.

Язык оригинала	английский
Страницы (с-по)	661-671
Число страниц	11
Журнал	Siberian Electronic Mathematical Reports
Том	17
DOI	https://doi.org/10.33048/SEMI.2020.17.044
Состояние	Опубликовано - 30 апр 2020

Доступ к документу

10.33048/SEMI.2020.17.044

Link to publication in Scopus

Fingerprint Подробные сведения о темах исследования «On some inequalities in boundary crossing problems for random walks». Вместе они формируют уникальный семантический отпечаток (fingerprint).

Цитировать

@article{04b121f8fcd54487adaa9abebe7a54a3,

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.",

keywords = "Random walk, Ruin probability, Trajectory supremum, Two-sided boundary crossing problem",

author = "Lotov, {V. I.}",

year = "2020",

month = apr,

day = "30",

doi = "10.33048/SEMI.2020.17.044",

language = "English",

volume = "17",

pages = "661--671",

journal = "Siberian Electronic Mathematical Reports",

issn = "1813-3304",

publisher = "Sobolev Institute of Mathematics",

}

TY - JOUR

T1 - On some inequalities in boundary crossing problems for random walks

AU - Lotov, V. I.

PY - 2020/4/30

Y1 - 2020/4/30

N2 - 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.

AB - 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.

KW - Random walk

KW - Ruin probability

KW - Trajectory supremum

KW - Two-sided boundary crossing problem

UR - http://www.scopus.com/inward/record.url?scp=85089226849&partnerID=8YFLogxK

U2 - 10.33048/SEMI.2020.17.044

DO - 10.33048/SEMI.2020.17.044

M3 - Article

AN - SCOPUS:85089226849

VL - 17

SP - 661

EP - 671

JO - Siberian Electronic Mathematical Reports

JF - Siberian Electronic Mathematical Reports

SN - 1813-3304

ER -