On some inequalities in boundary crossing problems for random walks

DOI10.33048/SEMI.2020.17.044MaRDI QIDQ2182248zbMATH OpenOpenAlexFDO

Authors V. I. Lotov

Publication date 21 May 2020

Published in Sibirskie Elektronnye Matematicheskie Izvestiya (Search for Journal in Brave)

Full work available at URL https://doi.org/10.33048/semi.2020.17.044

zbMATH Keywords

random walkruin probabilitytwo-sided boundary crossing problemtrajectory supremum

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3500818 (Why is no real title available?)
• scientific article; zbMATH DE number 3062496 (Why is no real title available?)
• Bounds for the probability to leave the interval
• CONTINUOUS INSPECTION SCHEMES
• On the Classical Ruin Problems
• On the asymptotics of the ruin probability
• Probability theory. Edited by K. A. Borovkov. Transl. from the Russian by O. Borovkova and P. S. Ruzankin

Cited in

(16)

• scientific article; zbMATH DE number 520070 (Why is no real title available?)
• Estimates for overshooting an arbitrary boundary by a random walk and their applications
• Two-sided problem for the random walk with bounded maximal increment
• Inequalities in a two-sided boundary crossing problem for stochastic processes
• Inequalities for the sojourn time of random walks above a certain boundary
• Crossing speeds of random walks among ``sparse or ``spiky Bernoulli potentials on integers
• scientific article; zbMATH DE number 3911433 (Why is no real title available?)
• Upper bounds for the maximum of a random walk with negative drift
• scientific article; zbMATH DE number 1899874 (Why is no real title available?)
• A note on the distribution of the number of crossings of a strip by a random walk
• Upper estimates for inhomogeneous random walks confined to the positive orthant
• Bound on the running maximum of a random walk with small drift
• Boundaries from inhomogeneous Bernoulli trials
• Inequalities for the average exit time of a random walk from an interval
• Sharp probability estimates for random walks with barriers
• Study of characteristics of the CUSUM procedure in a change point problem

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