On some inequalities in boundary crossing problems for random walks

DOI10.33048/SEMI.2020.17.044zbMath1439.60044OpenAlexW3035872282MaRDI QIDQ2182248

Vladimir Ivanovich Lotov

Publication date: 21 May 2020

Published in: Sibirskie Èlektronnye Matematicheskie Izvestiya (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.33048/semi.2020.17.044

zbMATH Keywords

random walkruin probabilitytwo-sided boundary crossing problemtrajectory supremum

Mathematics Subject Classification ID

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

Related Items (2)

Inequalities for the average exit time of a random walk from an interval ⋮ Inequalities in a two-sided boundary crossing problem for stochastic processes

Cites Work

• 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 the Asymptotics of the Ruin Probability
• On the Classical Ruin Problems
• CONTINUOUS INSPECTION SCHEMES
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