A bound for the distribution of a stopping time for a stochastic system

DOI10.1007/BF02104661zbMath0958.60043MaRDI QIDQ1358015

Konstantin A. Borovkov

Publication date: 9 April 2001

Published in: Siberian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

embeddinggambling systemboundary problems for Wiener process

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)

Related Items (3)

A gambling system and a Markov chain ⋮ On random walks with jumps scaled by cumulative sums of random variables ⋮ On distibutions of first passage times of martingales arising in some gambling problems

Cites Work

• A martingale approach in problems on first crossing time of nonlinear boundaries
• A gambling system and a Markov chain
• One-Sided Boundary Crossing for Processes with Independent Increments
• Topics in the Constructive Theory of Countable Markov Chains
• On the Stochastic Matrices Associated with Certain Queuing Processes

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