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

被引：2
|
作者：
Lotov, V. I. [1 ,2 ]
Khodjibayev, V. R. [3 ,4 ]
机构：
[1] Sobolev Inst Math, Novosibirsk, Russia
[2] Novosibirsk State Univ, Novosibirsk, Russia
[3] Namangan Engn Construct Inst, Namangan, Uzbekistan
[4] Uzbek Acad Sci, Namangan Reg Dept, Inst Math, Namangan, Uzbekistan
来源：
SIBERIAN MATHEMATICAL JOURNAL | 2021年 / 62卷 / 03期
关键词：
stationary stochastic process with independent increments; first exit time; boundary crossing problem; ruin probability; 519; 21;
D O I：
10.1134/S0037446621030083
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Considering a stationary stochastic process with independent increments (Levy process), we study the probability of the first exit from a strip through its upper boundary. We find the two-sided inequalities for this probability under various conditions on the process.
引用
收藏
页码：455 / 461
页数：7
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