Inequalities in a two-sided boundary crossing problem for stochastic processes

DOI10.1134/S0037446621030083zbMath1470.60124MaRDI QIDQ2030772

V. R. Khodjibayev, Vladimir Ivanovich Lotov

Publication date: 7 June 2021

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

Full work available at URL: https://doi.org/10.1134/s0037446621030083

zbMATH Keywords

ruin probability; first exit time; boundary crossing problem; stationary stochastic process with independent increments

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

60G50: Sums of independent random variables; random walks

Cites Work

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