Limit theorems in a boundary crossing problem for random walks

DOI10.1007/BF02674722MaRDI QIDQ1975810zbMATH OpenOpenAlexFDO

Authors V. I. 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)

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Cites work

• scientific article; zbMATH DE number 3860074 (Why is no real title available?)
• scientific article; zbMATH DE number 3635226 (Why is no real title available?)
• scientific article; zbMATH DE number 3322562 (Why is no real title available?)
• 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
• On the asymptotics of distributions in two-sided boundary problems for random walks defined on a Markov chain

Cited in

(18)

• Estimates for overshooting an arbitrary boundary by a random walk and their applications
• Analysis of the distribution of a random process with differential semi-Markov walk with delaying screen at zero
• 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
• On a limit behaviour of a random walk penalised in the lower half-plane
• Integral Limit Theorems for Nonlinear Boundary Crossing Time by Sums of Independent Variables
• On the asymptotics of the ruin probability
• On a random walk with switchings
• A limit law for random walks with physical applications
• scientific article; zbMATH DE number 2154074 (Why is no real title available?)
• Bounds for the probability to leave the interval
• Constructive approach to limit theorems for recurrent diffusive random walks on a strip
• scientific article; zbMATH DE number 3896004 (Why is no real title available?)
• On hitting the high level by a random walk with delay at the origin
• Limit theorems for projections of random walk on a hypersphere
• Exact formulas in some boundary crossing problems for integer-valued random walks
• Approximation of the expectation of the first exit time from an interval for a random walk
• On some inequalities in boundary crossing problems for random walks

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