On the Asymptotical Behavior of One Class of the First Exit Time of a Multidimensional Random Walk

DOI10.1137/S0040585X97981913zbMATH Open1138.60037MaRDI QIDQ3429702FDOQ3429702

Authors: F. Rahimov 

Publication date: 2 April 2007

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

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zbMATH Keywords

random walkfirst exit timeintegral limit theorem

Mathematics Subject Classification ID

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

Cited In (16)

• On Exit Times of a Multivariate Random Walk and Its Embedding in a Quasi Poisson Process
• Limit theorems for time and place of the first boundary passage by a multidimensional random walk
• On asymptotic behavior of the mean value of the family of the first exit time of random walk described by a nonlinear function of first order autoregression process \((AR (1))\)
• Exit times of N-dimensional random walks
• On the asymptotic behavior of local probabilities of a multidimensional random walk crossing nonlinear boundaries
• Angular asymptotics for multi-dimensional non-homogeneous random walks with asymptotically zero drift
• Approximation of the expectation of the first exit time from an interval for a random walk
• On the position of a random walk at the time of first exit from a sphere
• Global limit theorems on the convergence of multidimensional random walks to stable processes
• Limit theorems in the boundary hitting problem for a multidimensional random walk
• On exit times of multivariate random walk with some applications to finance
• On the Exit of One Class of Random Walks from an Interval
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• On the exit time of a random walk with positive drift
• The limit theorems for one class of moments of first intersection of nonlinear boundary by multidimensional walk
• From pseudorandom walk to pseudo-Brownian motion: first exit time from a one-sided or a two-sided interval

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