Approximation of the expectation of the first exit time from an interval for a random walk

被引：0

作者：

V. I. Lotov

机构：

[1] Sobolev Institute of Mathematics,

[2] Novosibirsk State University,undefined

来源：

Siberian Mathematical Journal | 2016年 / 57卷

关键词：

random walk; Wald’s sequential test; asymptotic expansions;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We obtain asymptotic expansions for the expectation of the first exit time from an expanding strip for a random walk trajectory. We suppose that the distribution of random walk jumps satisfies the Cramér condition on the existence of an exponential moment.

引用

页码：86 / 92

页数：6

共 50 条

[1] Approximation of the expectation of the first exit time from an interval for a random walk
Lotov, V. I.
SIBERIAN MATHEMATICAL JOURNAL, 2016, 57 (01) : 86 - 92
[2] Inequalities for the average exit time of a random walk from an interval
Lotov, V., I
IZVESTIYA MATHEMATICS, 2021, 85 (04) : 745 - 754
[3] On compactness properties of the exit position of a random walk from an interval
Griffin, PS
Maller, RA
PROCEEDINGS OF THE LONDON MATHEMATICAL SOCIETY, 1999, 78 : 459 - 480
[4] Exit time of a centered random walk from a cone
Garbit, Rodolphe
COMPTES RENDUS MATHEMATIQUE, 2007, 345 (10) : 587 - 591
[5] Reconstruction of a persistent random walk from exit time distributions
Fok, Pak-Wing
Han, Qunhui
Chou, Tom
IMA JOURNAL OF APPLIED MATHEMATICS, 2015, 80 (01) : 1 - 23
[6] On the asymptotical behavior of one class of the first exit time of a multidimensional random walk
Ragimov, F. G.
THEORY OF PROBABILITY AND ITS APPLICATIONS, 2006, 50 (03) : 505 - U29
[7] On the first exit time from an interval for diffusions with jumps
Borodin A.N.
Journal of Mathematical Sciences, 2009, 163 (4) : 352 - 362
[8] Inequalities for first-exit probabilities and expected first-exit times of a random walk
Stadje, W.
Communications in Statistics. Part C: Stochastic Models, 1996, 12 (01): : 103 - 120
[9] Approximation of the exit probability of a stable Markov modulated constrained random walk
Kabran, Fatma Basoglu
Sezer, Ali Devin
ANNALS OF OPERATIONS RESEARCH, 2022, 310 (02) : 431 - 475
[10] Approximation of the exit probability of a stable Markov modulated constrained random walk
Fatma Başoğlu Kabran
Ali Devin Sezer
Annals of Operations Research, 2022, 310 : 431 - 475

← 1 2 3 4 5 →