One-Sided Boundary Crossing for Processes with Independent Increments

DOI10.1137/1131029MaRDI QIDQ3806507zbMATH OpenOpenAlexFDO

Authors Priscilla Greenwood, A. Novikov

Publication date 1987

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1131029

zbMATH Keywords

growth conditionslimit theoremsprocess with stationary independent increments

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Markov processes (60J99)

Cited in

(11)

• On the asymptotic behaviour of first passage times for transient random walk
• A bound for the distribution of a stopping time for a stochastic system
• The first exit time of a Brownian motion from an unbounded convex domain
• First-passage times for random walks with nonidentically distributed increments
• An exact asymptotics for the moment of crossing a curved boundary by an asymptotically stable random walk
• First passage problems over increasing boundaries for Lévy processes with exponentially decayed Lévy measures
• Suprema of Lévy processes
• First-Passage Times over Moving Boundaries for Asymptotically Stable Walks
• First-passage time asymptotics over moving boundaries for random walk bridges
• Statistical properties of sites visited by independent random walks
• The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues

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