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Inequalities in a Two-Sided Boundary Crossing Problem for Stochastic Processes. / Lotov, V. I.; Khodjibayev, V. R.

In: Siberian Mathematical Journal, Vol. 62, No. 3, 05.2021, p. 455-461.

Research output: Contribution to journal › Article › peer-review

Harvard

Lotov, VI & Khodjibayev, VR 2021, 'Inequalities in a Two-Sided Boundary Crossing Problem for Stochastic Processes', Siberian Mathematical Journal, vol. 62, no. 3, pp. 455-461. https://doi.org/10.1134/S0037446621030083

APA

Lotov, V. I., & Khodjibayev, V. R. (2021). Inequalities in a Two-Sided Boundary Crossing Problem for Stochastic Processes. Siberian Mathematical Journal, 62(3), 455-461. https://doi.org/10.1134/S0037446621030083

Vancouver

Lotov VI, Khodjibayev VR. Inequalities in a Two-Sided Boundary Crossing Problem for Stochastic Processes. Siberian Mathematical Journal. 2021 May;62(3):455-461. doi: 10.1134/S0037446621030083

Author

Lotov, V. I. ; Khodjibayev, V. R. / Inequalities in a Two-Sided Boundary Crossing Problem for Stochastic Processes. In: Siberian Mathematical Journal. 2021 ; Vol. 62, No. 3. pp. 455-461.

BibTeX

@article{7408da683e2a4471bd5134c2118132a3,
title = "Inequalities in a Two-Sided Boundary Crossing Problem for Stochastic Processes",
abstract = "Considering a stationary stochastic process with independentincrements (L{\'e}vy process), we study the probability of the first exit from a stripthrough its upper boundary. We findthe two-sided inequalities for this probability under variousconditions on the process.",
keywords = "519.21, boundary crossing problem, first exit time, ruin probability, stationary stochastic process with independent increments",
author = "Lotov, {V. I.} and Khodjibayev, {V. R.}",
note = "Funding Information: V. I. Lotov was partially supported by the Program of Basic Scientific Research of the Siberian Branch of the Russian Academy of Sciences (Grant No. I.1.3, Project 0314–2016–0008). Publisher Copyright: {\textcopyright} 2021, Pleiades Publishing, Ltd. Copyright: Copyright 2021 Elsevier B.V., All rights reserved.",
year = "2021",
month = may,
doi = "10.1134/S0037446621030083",
language = "English",
volume = "62",
pages = "455--461",
journal = "Siberian Mathematical Journal",
issn = "0037-4466",
publisher = "MAIK NAUKA/INTERPERIODICA/SPRINGER",
number = "3",

}

RIS

TY - JOUR

T1 - Inequalities in a Two-Sided Boundary Crossing Problem for Stochastic Processes

AU - Lotov, V. I.

AU - Khodjibayev, V. R.

N1 - Funding Information: V. I. Lotov was partially supported by the Program of Basic Scientific Research of the Siberian Branch of the Russian Academy of Sciences (Grant No. I.1.3, Project 0314–2016–0008). Publisher Copyright: © 2021, Pleiades Publishing, Ltd. Copyright: Copyright 2021 Elsevier B.V., All rights reserved.

PY - 2021/5

Y1 - 2021/5

N2 - Considering a stationary stochastic process with independentincrements (Lévy process), we study the probability of the first exit from a stripthrough its upper boundary. We findthe two-sided inequalities for this probability under variousconditions on the process.

AB - Considering a stationary stochastic process with independentincrements (Lévy process), we study the probability of the first exit from a stripthrough its upper boundary. We findthe two-sided inequalities for this probability under variousconditions on the process.

KW - 519.21

KW - boundary crossing problem

KW - first exit time

KW - ruin probability

KW - stationary stochastic process with independent increments

UR - http://www.scopus.com/inward/record.url?scp=85107178444&partnerID=8YFLogxK

U2 - 10.1134/S0037446621030083

DO - 10.1134/S0037446621030083

M3 - Article

AN - SCOPUS:85107178444

VL - 62

SP - 455

EP - 461

JO - Siberian Mathematical Journal

JF - Siberian Mathematical Journal

SN - 0037-4466

IS - 3

ER -

ID: 29138387