On the typical level crossing time and path

DOI10.1016/0304-4149(94)00079-9zbMath0829.60023OpenAlexW2079341419MaRDI QIDQ1899259

Harri Nyrhinen

Publication date: 15 January 1996

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)00079-9

zbMATH Keywords

law of large numberslevel crossinglarge deviations theory

Mathematics Subject Classification ID

Strong limit theorems (60F15) Large deviations (60F10)

Related Items (4)

Finite and infinite time ruin probabilities in a stochastic economic environment. ⋮ Long strange segments, ruin probabilities and the effect of memory on moving average processes ⋮ Power estimates for ruin probabilities ⋮ An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes

Cites Work

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• Large deviations for a general class of random vectors
• Large deviations for some weakly dependent random processes
• Importance sampling in the Monte Carlo study of sequential tests
• Large deviations for functionals of stationary processes
• Ruin theory in the linear model
• Finite-time Lundberg inequalities in the Cox case
• Upper bounds for large deviations of dependent random vectors
• Limit theorems for first-passage times in linear and non-linear renewal theory
• Entropy, a useful concept in risk theory
• Simulating level-crossing probabilities by importance sampling
• On asymptotically efficient simulation of ruin probabilities in a Markovian environment
• Rough limit results for level-crossing probabilities
• Risk theory in a Markovian environment

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