On some boundary crossing problems for Gaussian random walks

被引：0

作者：

Lotov, VI

机构：

来源：

ANNALS OF PROBABILITY | 1996年 / 24卷 / 04期

关键词：

random walks; Wiener-Hopf factorization; first exit time; overshoot; sequential probability ratio test;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider random walks with Gaussian distribution of summands. New representations for Wiener-Kopf factorization components are obtained. The factorization method is used to study the distribution of the excess over one-sided and two-sided boundaries. asymptotic expansions for these distributions and for the expectation of the first exit time are obtained under the assumption that the boundaries tend to infinity.

引用

页码：2154 / 2171

页数：18

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