Limit theorems in a boundary crossing problem for random walks

DOI10.1007/BF02674722zbMath0945.60066OpenAlexW1999367886MaRDI QIDQ1975810

Vladimir Ivanovich Lotov

Publication date: 4 May 2000

Published in: Siberian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02674722

zbMATH Keywords

factorization methodfirst exit timeboundary crossing problem

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Boundary theory for Markov processes (60J50)

Related Items (8)

Approximation of the expectation of the first exit time from an interval for a random walk ⋮ On a random walk with switchings ⋮ On the sojourn time of a random walk in a strip ⋮ Asymptotic expansions for the distribution of the sojourn time of a random walk on a half-axis ⋮ Analysis of the distribution of a random process with differential semi-Markov walk with delaying screen at zero ⋮ Bounds for the probability to leave the interval ⋮ On hitting the high level by a random walk with delay at the origin ⋮ On the Asymptotics of the Ruin Probability

Cites Work

• On the asymptotics of distributions in two-sided boundary problems for random walks defined on a Markov chain
• A Wiener-Hopf Type Method for a General Random Walk with a Two-Sided Boundary
• An Estimate for the Convergence Rate for the Absorption Probability
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