From boundary crossing of non-random functions to boundary crossing of stochastic processes

DOI10.1017/S0269964815000030zbMATH Open1370.60072arXiv1212.0733OpenAlexW1969128469MaRDI QIDQ5358044FDOQ5358044

Authors: Mark Brown, Victor H. de la Peña, Tony Sit 

Publication date: 19 September 2017

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Abstract: One problem of wide interest involves estimating expected crossing-times. Several tools have been developed to solve this problem beginning with the works of Wald and the theory of sequential analysis. An extension of his approach is provided by the optional sampling theorem in conjunction with martingale inequalities. Deriving the explicit close form solution for the expected crossing times may be difficult. In this paper, we provide a framework that can be used to estimate expected crossing times of arbitrary stochastic processes. Our key assumption is the knowledge of the average behavior of the supremum of the process. Our results include a universal sharp lower bound on the expected crossing times.

Full work available at URL: https://arxiv.org/abs/1212.0733

Recommendations

• On an approach to boundary crossing by stochastic processes
• Bounding the first passage time on an average
• Linear and nonlinear boundary crossing probabilities for Brownian motion and related processes
• Sample path analysis and distributions of boundary crossing times
• scientific article; zbMATH DE number 1218890

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Sequential analysis: Some classical problems and new challenges. (With comments and rejoinder).
• Sequential Tests of Statistical Hypotheses
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A note on second moment of a randomly stopped sum of independent variables
• Extrapolation and interpolation of quasi-linear operators on martingales
• Bounding the first passage time on an average
• EXPLOITING THE WAITING TIME PARADOX: APPLICATIONS OF THE SIZE-BIASING TRANSFORMATION
• Uniform lower bounds for randomly stopped Banach space valued random sums
• Occupation times and beyond.
• Title not available (Why is that?)

Cited In (5)

• The mean of the running maximum of an integrated Gauss-Markov process and the connection with its first-passage time
• Boundary crossing random variables related to quantile convergence
• On an approach to boundary crossing by stochastic processes
• Bounds for the mean time of reaching a constant threshold by a non-anticipative functional of a random process of recurrent type
• A simple nonparametric method to estimate the expected time to cross a threshold

This page was built for publication: From boundary crossing of non-random functions to boundary crossing of stochastic processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5358044)