A bound on the expected overshoot for some concave boundaries

DOI10.1007/BF02717178zbMath0923.60021OpenAlexW1996617812MaRDI QIDQ1377363

Vladimir Ivanovich Lotov, Albrecht Irle

Publication date: 17 June 1999

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/186260

zbMATH Keywords

stopping timeChebyshev's inequalityovershootFuk's inequalityLorden's inequalityNagaev-Fuk's inequality

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Cites Work

• Unnamed Item
• Inequalities for the overshoot
• Some probabilistic inequalities for martingales
• An alternative proof of Lorden&s renewal inequality
• On Excess Over the Boundary
• Probability Inequalities for Sums of Independent Random Variables
• Large deviations of sums of independent random variables

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