On some boundary crossing problems for Gaussian random walks

DOI10.1214/aop/1041903223zbMath0876.60057OpenAlexW2066254406MaRDI QIDQ674526

Vladimir Ivanovich 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

zbMATH Keywords

random walksWiener-Hopf factorizationfirst exit timeovershot

Mathematics Subject Classification ID

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

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Cites Work

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• Distribution of the maximum of a process with independent increments
• Asymptotic Expansions in a Sequential Likelihood Ratio Test
• Asymptotic Analysis of Distributions in Problems with Two Boundaries. II
• A Wiener-Hopf Type Method for a General Random Walk with a Two-Sided Boundary

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