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On some inequalities in boundary crossing problems for random walks. / Lotov, V. I.

In: Сибирские электронные математические известия, Vol. 17, 30.04.2020, p. 661-671.

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

Harvard

Lotov, VI 2020, 'On some inequalities in boundary crossing problems for random walks', Сибирские электронные математические известия, vol. 17, pp. 661-671. https://doi.org/10.33048/SEMI.2020.17.044

APA

Lotov, V. I. (2020). On some inequalities in boundary crossing problems for random walks. Сибирские электронные математические известия, 17, 661-671. https://doi.org/10.33048/SEMI.2020.17.044

Vancouver

Lotov VI. On some inequalities in boundary crossing problems for random walks. Сибирские электронные математические известия. 2020 Apr 30;17:661-671. doi: 10.33048/SEMI.2020.17.044

Author

Lotov, V. I. / On some inequalities in boundary crossing problems for random walks. In: Сибирские электронные математические известия. 2020 ; Vol. 17. pp. 661-671.

BibTeX

@article{04b121f8fcd54487adaa9abebe7a54a3,
title = "On some inequalities in boundary crossing problems for random walks",
abstract = "We obtain new upper and lower bounds for the probability that random walk with negative drift leaves the strip through the upper boundary. It is assumed that distributions of the walk increments do not have an exponential moment. The accuracy of known inequalities for the distribution of trajectory supremum is analyzed.",
keywords = "Random walk, Ruin probability, Trajectory supremum, Two-sided boundary crossing problem",
author = "Lotov, {V. I.}",
year = "2020",
month = apr,
day = "30",
doi = "10.33048/SEMI.2020.17.044",
language = "English",
volume = "17",
pages = "661--671",
journal = "Сибирские электронные математические известия",
issn = "1813-3304",
publisher = "Sobolev Institute of Mathematics",

}

RIS

TY - JOUR

T1 - On some inequalities in boundary crossing problems for random walks

AU - Lotov, V. I.

PY - 2020/4/30

Y1 - 2020/4/30

N2 - We obtain new upper and lower bounds for the probability that random walk with negative drift leaves the strip through the upper boundary. It is assumed that distributions of the walk increments do not have an exponential moment. The accuracy of known inequalities for the distribution of trajectory supremum is analyzed.

AB - We obtain new upper and lower bounds for the probability that random walk with negative drift leaves the strip through the upper boundary. It is assumed that distributions of the walk increments do not have an exponential moment. The accuracy of known inequalities for the distribution of trajectory supremum is analyzed.

KW - Random walk

KW - Ruin probability

KW - Trajectory supremum

KW - Two-sided boundary crossing problem

UR - http://www.scopus.com/inward/record.url?scp=85089226849&partnerID=8YFLogxK

U2 - 10.33048/SEMI.2020.17.044

DO - 10.33048/SEMI.2020.17.044

M3 - Article

AN - SCOPUS:85089226849

VL - 17

SP - 661

EP - 671

JO - Сибирские электронные математические известия

JF - Сибирские электронные математические известия

SN - 1813-3304

ER -

ID: 24955383