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

DOI10.1134/S0037446616010092zbMATH Open1342.60066MaRDI QIDQ299162FDOQ299162

V. I. Lotov

Publication date: 22 June 2016

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

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zbMATH Keywords

random walkasymptotic expansionsfirst exit timeWald's sequential test

Mathematics Subject Classification ID

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

Cites Work

• Sequential analysis. Tests and confidence intervals
• Title not available (Why is that?)
• Title not available (Why is that?)
• 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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Cited In (6)

• Title not available (Why is that?)
• Inequalities for the average exit time of a random walk from an interval
• Title not available (Why is that?)
• The probability of first reaching a desired level by a random process on a given interval
• On first and last exit times for curved differentiable boundaries
• From pseudorandom walk to pseudo-Brownian motion: first exit time from a one-sided or a two-sided interval

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