Inequalities in a Two-Sided Boundary Crossing Problem for Stochastic Processes

被引：0

作者：

V. I. Lotov

V. R. Khodjibayev

机构：

[1] Sobolev Institute of Mathematics,Institute of Mathematics

[2] Novosibirsk State University,undefined

[3] Namangan Engineering Construction Institute,undefined

[4] Namangan Regional Department,undefined

[5] Uzbekistan Academy of Sciences,undefined

来源：

Siberian Mathematical Journal | 2021年 / 62卷

关键词：

stationary stochastic process with independent increments; first exit time; boundary crossing problem; ruin probability; 519.21;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

Considering a stationary stochastic process with independent increments (Lévy 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：6

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