A note on the moments of first–crossing times related to nonlinear renewal theory

DOI10.1080/17442509108833687zbMath0724.60094OpenAlexW2085322186MaRDI QIDQ3212095

Valeri T. Stefanov

Publication date: 1991

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509108833687

zbMATH Keywords

first passage timeslinear combinations of exponential families

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Renewal theory (60K05)

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On information inequalities in sequential estimation for stochastic processes ⋮ Stopped Lévy processes with applications to first passage times

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