Bounding the first passage time on an average (Q2568319)

From MaRDI portal

!

This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:

scientific article; zbMATH DE number 2213043
Language Label Description Also known as
default for all languages
No label defined
    English
    Bounding the first passage time on an average
    scientific article; zbMATH DE number 2213043

      Statements

      Bounding the first passage time on an average (English)
      0 references
      0 references
      0 references
      10 October 2005
      0 references
      Let \(\zeta_t, t\geq 0\), be a process with nonnegative values, \(T_r=\inf\{t>0; \zeta_t>r\}, r>0\), and \(\psi\) be a nondecreasing function with \(\psi(0)=0\). For a nondecreasing function \(\eta\) and nonincreasing function \(h\) define \(a_\eta(t)=E\eta(\sup_{0\leq s\leq t}\zeta_s)\) along with \(a_\eta^{-1}(s)=\inf\{t>0;a_\eta(t)>s\}, s\geq 0\), and \(b_h(t)=E h(\sup_{0\leq s\leq t}\zeta_s)\) along with \(b_h^{-1}(s)= \inf\{t>0;b_h(t)<s\}, s\geq 0\), The authors obtain the upper and lower bounds for \(E\psi(T_r)\) in the form: \[ (1-\varepsilon)\psi\circ a_\eta^{-1}(\varepsilon\eta(r))\leq E\psi(T_r)\leq \left(1+\frac{\delta\rho}{\sigma-1}\right)\psi\circ b_h^{-1}(\delta h(r)) \] for any \(\varepsilon \in (0,1), \delta>0\) and some other conditions for the parameters.
      0 references
      upper and lower bounds
      0 references

      Identifiers