On some boundary crossing problems for Gaussian random walks
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Publication:674526
DOI10.1214/AOP/1041903223zbMATH Open0876.60057OpenAlexW2066254406MaRDI QIDQ674526FDOQ674526
Authors: V. I. Lotov 
Publication date: 10 November 1997
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1041903223
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Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
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- Asymptotic Analysis of Distributions in Problems with Two Boundaries. II
- Distribution of the maximum of a process with independent increments
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Cited In (30)
- Optimal control of work-in-process inventory of a two-station production line
- Asymptotics for the probability of not exceeding a curvilinear level by a Gaussian random walk
- An asymptotic approach for a semi-Markovian inventory model of type \((s, S)\)
- Asymptotic expansions for the stationary moments of a modified renewal-reward process with dependent components
- Asymptotic expansions for the moments of the Gaussian random walk with two barriers
- On some inequalities in boundary crossing problems for random walks
- Properties of boundary functionals for a random walk with stable jump distributions
- Asymptotic approach for a renewal-reward process with a general interference of chance
- Asymptotic expansions for the moments of a semi-Markovian random walk with exponential distributed interference of chance
- Approximation formulas for the moments of the boundary functional of a Gaussian random walk with positive drift by using Siegmund's formula
- A factorization method in boundary crossing problems for random walks
- Title not available (Why is that?)
- On double-boundary non-crossing probability for a class of compound processes with applications
- Three-term asymptotic expansions for the moments of the random walk with triangular distributed interference of chance
- Approximation results for the moments of random walk with normally distributed interference of chance
- On the moments of a semi-Markovian random walk with Gaussian distribution of summands
- Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift
- Problems in calculating moments and distribution functions of ladder heights
- Moment-based approximation for variance of semi-Markovian random walk with gamma distributed interference of chance
- Exact expressions for the moments of ladder heights
- Asymptotic expansions for the moments of the semi-Markovian random walk with gamma distributed interference of chance
- Three-term asymptotic expansion: a semi-Markovian random walk with a generalized beta distributed interference of chance
- Properties of factorization operators in boundary crossing problems for random walks
- Crossing speeds of random walks among ``sparse or ``spiky Bernoulli potentials on integers
- On the identification of Wiener-Hopf factors
- On the stationary characteristics of the extended model of type (s,S) with Gaussian distribution of summands
- Complete corrected diffusion approximations for the maximum of a random walk
- Exact formulas in some boundary crossing problems for integer-valued random walks
- On a random walk with switchings
- On the limiting behavior of the characteristic function of the ergodic distribution of the semi-Markov walk with two boundaries
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