Inequalities in a two-sided boundary crossing problem for stochastic processes

DOI10.1134/S0037446621030083zbMath1470.60124OpenAlexW3168926170MaRDI QIDQ2030772

V. R. Khodjibayev, Vladimir Ivanovich Lotov

Publication date: 7 June 2021

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

Full work available at URL: https://doi.org/10.1134/s0037446621030083

zbMATH Keywords

ruin probabilityfirst exit timeboundary crossing problemstationary stochastic process with independent increments

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Sums of independent random variables; random walks (60G50)

Cites Work

• Sequential analysis. Tests and confidence intervals
• On limit theorems for the first exit time from a strip for stochastic processes. I
• On limit theorems for the first exit time from a strip for stochastic processes. II
• Bounds for the probability to leave the interval
• Probability theory. Edited by K. A. Borovkov. Transl. from the Russian by O. Borovkova and P. S. Ruzankin
• On some inequalities in boundary crossing problems for random walks
• Asymptotic Expansions in a Sequential Likelihood Ratio Test
• Asymptotic Analysis of Distributions in Problems with Two Boundaries. I
• On Random Walks in a Strip
• On the Size of the First Jump for a Process with Independent Increments
• Local Behavior of Processes with Independent Increments
• On Distributions of Functionals Related to Boundary Problems for Processes with Independent Increments

This page was built for publication: Inequalities in a two-sided boundary crossing problem for stochastic processes