FROM BOUNDARY CROSSING OF NON-RANDOM FUNCTIONS TO BOUNDARY CROSSING OF STOCHASTIC PROCESSES

DOI10.1017/S0269964815000030zbMath1370.60072arXiv1212.0733OpenAlexW1969128469MaRDI QIDQ5358044

Victor H. de la Peña, Mark Brown, 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

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

Related Items

On an approach to boundary crossing by stochastic processes ⋮ The mean of the running maximum of an integrated Gauss–Markov process and the connection with its first-passage time

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