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

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