On the distribution of the first passage time of a random walk to an arbitrary remote boundary

DOI10.1137/S0040585X97T988125MaRDI QIDQ5269812zbMATH OpenFDO

Authors A. A. Borovkov

Publication date 28 June 2017

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

zbMATH Keywords

first passage timeovershootarbitrary boundarylocal and integral asymptotics

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

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Cites work

• scientific article; zbMATH DE number 3766893 (Why is no real title available?)
• scientific article; zbMATH DE number 3073499 (Why is no real title available?)
• A Local Limit Theorem for Nonlattice Multi-Dimensional Distribution Functions
• Asymptotic Analysis of Random Walks
• Asymptotic Expansion for the Distribution of Nonlinear Boundary Crossing Time
• Asymptotic analysis of random walks. Rapidly decreasing distributions of increments
• Asymptotic behaviour of the conditional probability of the nonlinear boundary crossing by a random walk
• Asymptotic expansions in boundary crossing problems
• Existence of Optimal Stopping Rules for Rewards Related to $S_n/n$
• Integral Limit Theorems for Nonlinear Boundary Crossing Time by Sums of Independent Variables
• Limit theorems for first-passage times in linear and non-linear renewal theory
• On the Local Probabilities of Intersection of Nonlinear Boundaries by Sums of Independent Random Variables
• On the moments and limit distributions of some first passage times
• Probability theory. Edited by K. A. Borovkov. Transl. from the Russian by O. Borovkova and P. S. Ruzankin

Cited in

(18)

• Local behaviour of first passage probabilities
• Asymptotic behaviour of joint distribution of the overshoot and the first passage time of Markov chain for the level
• Boundary crossing distributions of random walks related to the law of the iterated logarithm
• First-Passage Times over Moving Boundaries for Asymptotically Stable Walks
• Functional limit theorems for compound renewal processes
• scientific article; zbMATH DE number 5492190 (Why is no real title available?)
• Integral theorems for the first passage time of an arbitrary boundary by a compound renewal process
• First-passage time asymptotics over moving boundaries for random walk bridges
• scientific article; zbMATH DE number 4126435 (Why is no real title available?)
• First passage time distribution in random walks with absorbing boundaries
• Statistics of the occupation time for a random walk in the presence of a moving boundary
• scientific article; zbMATH DE number 4044897 (Why is no real title available?)
• First-passage times for random walks with nonidentically distributed increments
• Limit distribution of the first passage time of a regenerating random walk with reflection
• On the asymptotic behavior of the distributions of first-passage times. I.
• Two-boundary problems for a random walk
• Generalization and refinement of the integro-local Stone theorem for sums of random vectors
• A note on the times of first passage for `nearly right-continuous' random walks

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