On an approach to boundary crossing by stochastic processes

DOI10.1016/J.SPA.2016.04.027zbMath1375.60082OpenAlexW2393779640MaRDI QIDQ335661

Tony Sit, Mark Brown, Michael J. Klass, Victor H. de la Peña

Publication date: 2 November 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2016.04.027

zbMATH Keywords

renewal theoryprobability boundsdecouplingfirst-hitting time

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Sequential statistical methods (62L99) Stopping times; optimal stopping problems; gambling theory (60G40) Renewal theory (60K05)

Related Items (1)

The mean of the running maximum of an integrated Gauss–Markov process and the connection with its first-passage time

Cites Work

• Hitting time for Bessel processes-walk on moving spheres algorithm (WoMS)
• The law of the maximum of a Bessel bridge
• Hitting probabilities in a Markov additive process with linear movements and upward jumps: applications to risk and queueing processes.
• The growth of additive processes
• Extrapolation and interpolation of quasi-linear operators on martingales
• Bounding the first passage time on an average
• Sequential Comparison ofdPopulations and Related Tables
• FROM BOUNDARY CROSSING OF NON-RANDOM FUNCTIONS TO BOUNDARY CROSSING OF STOCHASTIC PROCESSES
• Sequential Tests of Statistical Hypotheses

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