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

DOI10.1017/S0269964815000030MaRDI QIDQ5358044zbMATH OpenOpenAlexFDO

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)

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

Mathematics Subject Classification ID

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

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.

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Cited in

(5)

• Boundary crossing random variables related to quantile convergence
• The mean of the running maximum of an integrated Gauss-Markov process and the connection with its first-passage time
• 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

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