Asymptotic representations for characteristics of exit from an interval for stochastic processes with independent increments (Q1972643)

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scientific article; zbMATH DE number 1431673
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Asymptotic representations for characteristics of exit from an interval for stochastic processes with independent increments
scientific article; zbMATH DE number 1431673

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    Asymptotic representations for characteristics of exit from an interval for stochastic processes with independent increments (English)
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    13 April 2000
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    Let \(\xi(t)\), \(t\geq 0\), be a homogeneous process with independent increments, \(\xi(0)=0\), and \(T=T(a,b)= \inf\{t>0: \xi(t)<-1\) or \(\xi(t) >b\}\), \(a\geq 0\), \(b>0\). Let \(\eta(t)\) be the stochastic process with delay at the lower boundary, \(\eta(t)= \xi(t)- a-\min\{- a,\inf_{s\leq t}\xi (s)\}\), and let \(\theta= \inf\{t>0: \eta(t) >b\}\). The asymptotic expansions are presented for \(\mathbb{E} T\), \(\mathbb{E}\theta\), \(\mathbb{P}\{\xi (T)>b+x\}\), and \(\mathbb{P} \{\xi (t)<- a-x\}\), as \(b\to\infty\). The results are formulated in terms of the factorization components. For related results, see the articles by \textit{V. I. Lotov} [Theory Probab. Appl. 36, No. 1, 165-170 (1991); translation from Teor. Veroyatn. Primen. 36, No. 1, 160-165 (1991; Zbl 0729.60067) and Sib. Math. J. 32, No. 4, 588-591 (1991); translation from Sib. Mat. Zh. 32, No. 4(188), 61-65 (1991; Zbl 0739.60037)].
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    boundary crossing problem
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    first exit time
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    factorization method
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