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

页码：455 / 461

页数：7

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