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

DOI10.1134/S0037446621030083MaRDI QIDQ2030772zbMATH OpenOpenAlexFDO

Authors V. R. Khodjibayev, V. I. 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

boundary crossing problemfirst exit timeruin probabilitystationary stochastic process with independent increments

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Sums of independent random variables; random walks (60G50)

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Cites work

• Asymptotic Analysis of Distributions in Problems with Two Boundaries. I
• Asymptotic Expansions in a Sequential Likelihood Ratio Test
• Bounds for the probability to leave the interval
• Local Behavior of Processes with Independent Increments
• On Distributions of Functionals Related to Boundary Problems for Processes with Independent Increments
• On limit theorems for the first exit time from a strip for stochastic processes. I
• On limit theorems for the first exit time from a strip for stochastic processes. II
• On Random Walks in a Strip
• On some inequalities in boundary crossing problems for random walks
• On the Size of the First Jump for a Process with Independent Increments
• Probability theory. Edited by K. A. Borovkov. Transl. from the Russian by O. Borovkova and P. S. Ruzankin
• Sequential analysis. Tests and confidence intervals

Cited in

(4)

• On some inequalities in boundary crossing problems for random walks
• On double-boundary non-crossing probability for a class of compound processes with applications
• On several two-boundary problems for a particular class of Lévy processes
• On the distribution of the crossing number of a strip by trajectories of a stochastic process with independent increments

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