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 › рецензирование

1 Цитирования (Scopus)

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	Сибирские электронные математические известия
Том	17
DOI	https://doi.org/10.33048/SEMI.2020.17.044
Состояние	Опубликовано - 30 апр 2020

Предметные области OECD FOS+WOS

1.01 МАТЕМАТИКА

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10.33048/SEMI.2020.17.044

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On some inequalities in boundary crossing problems for random walks. / Lotov, V. I.

В: Сибирские электронные математические известия, Том 17, 30.04.2020, стр. 661-671.

Результат исследования: Научные публикации в периодических изданиях › статья › рецензирование

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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

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KW - Two-sided boundary crossing problem

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SN - 1813-3304

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On some inequalities in boundary crossing problems for random walks

Аннотация

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