Inequalities for the average first exit time from the strip for the Levy process

被引：0

作者：

Khodjibayev, Vali Rakhimdjanovich ^{[1
,2
]}

机构：

[1] Namangan Engn Construct Inst, Islam Karimov Str 12, Namangan 160103, Uzbekistan

[2] Uzbekistan Akad Sci, Inst Math, Univ Skaya Str 46, Tashkent 100174, Uzbekistan

来源：

SIBERIAN ELECTRONIC MATHEMATICAL REPORTS-SIBIRSKIE ELEKTRONNYE MATEMATICHESKIE IZVESTIYA | 2022年 / 19卷 / 02期

基金：

俄罗斯科学基金会;

关键词：

stochastic Levy process; first exit time; boundary crossing problem; ruin probability;

D O I：

10.33048/semi.2022.19.071

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We study first exit time from a strip for a homogeneous stochastic process with independent increments (the Levy process). Two-sided inequalities are found for the average of this exit time under various conditions on the process.

引用

页码：852 / 860

页数：9

共 40 条

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