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.
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页码：86 / 92
页数：6
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