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This article is cited in 1 scientific paper (total in 1 paper)
Asymptotic Representations for Characteristics of Exit from an Interval for Stochastic Processes with Independent Increments
V. R. Khodzhibaev Namangan Industrial Institute
Abstract:
Given a homogeneous process $\xi(t)$ with independent increments, we consider the random variables $T=\inf\bigl\{t:\xi(t)\notin[-a,b]\bigr\}$ ($a\ge 0$, $b>0$) and $\xi(T)$, as well as $\theta$, the first passage time across the level $b$ by the process $\xi(t)-a-\min\Bigl\{-a,\ \inf\limits_{s\le t}\xi(s)\Bigr\}$. We find asymptotic expansions for the distribution $\xi(T)$ and for $\mathbb E T$ and $\mathbb E\theta$ as $b\to\infty$.
Key words:
boundary crossing problem, first exit time, stochastic processes with independent increments, factorization method.
Received: 01.12.1996
Citation:
V. R. Khodzhibaev, “Asymptotic Representations for Characteristics of Exit from an Interval for Stochastic Processes with Independent Increments”, Mat. Tr., 1:1 (1998), 116–128; Siberian Adv. Math., 7:3 (1997), 75–86
Linking options:
https://www.mathnet.ru/eng/mt135 https://www.mathnet.ru/eng/mt/v1/i1/p116
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Abstract page: | 207 | Full-text PDF : | 266 | First page: | 1 |
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