Largest excess of boundary crossings for martingales

DOI10.1007/BF02613136zbMath0616.60044MaRDI QIDQ1821425

Albrecht Irle

Publication date: 1987

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/176104

zbMATH Keywords

first passage timeslargest excess of the boundary

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (2)

Poisson equation, moment inequalities and quick convergence for Markov random walks. ⋮ Convergence rates in the law of large numbers for martingales

Cites Work

• Unnamed Item
• On the expectation of the maximum for sums of independent random variables
• Some One-Sided Theorems on the Tail Distribution of Sample Sums with Applications to the Last Time and Largest Excess of Boundary Crossings

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