Approximation of the expectation of the first exit time from an interval for a random walk

DOI10.1134/S0037446616010092zbMath1342.60066MaRDI QIDQ299162

Vladimir Ivanovich Lotov

Publication date: 22 June 2016

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

zbMATH Keywords

asymptotic expansionsrandom walkfirst exit timeWald's sequential test

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

Related Items (1)

Inequalities for the average exit time of a random walk from an interval

Cites Work

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• Sequential analysis. Tests and confidence intervals
• Limit theorems in a boundary crossing problem for random walks
• Asymptotic Expansions in a Sequential Likelihood Ratio Test
• Asymptotic Analysis of Distributions in Problems with Two Boundaries. I

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