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This article is cited in 3 scientific papers (total in 3 papers)
On Limit Theorems for the First Exit Time from a Strip for Stochastic Processes. II
V. I. Lotova, V. R. Khodzhibaevb a Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences
b Namangan Industrial Institute
Abstract:
We consider a stochastic process $\xi(t)$, $t\ge 0$, $\xi(0)=0$, with independent stationary increments. Let $\eta(t,a)$ be a stochastic process with delay at the boundary of the half-interval $[-a,\infty)$, $a\ge0$, i.e., $\eta(t,a)=\xi(t)-a-\min\left\{-a;\ \inf_{s\le t}\xi(s)\right\}$. Under some restrictions on $\xi(1)$, we obtain asymptotic expansions for the Laplace–Stieltjes transforms of the normed random variable $\theta(a,b)=\inf\bigl\{t:\eta(t,a)\ge b\bigr\}$ as $b\to\infty$. The cases $\mathbb E\,\xi(1)=0$ and $\mathbb E\,\xi(1)<0$ are considered and the situations $a=\mathrm{const}$, $b\to\infty$; $a\to\infty$, $b\to\infty$; and $a\to\infty$, $b=\mathrm{const}$ are treated separately.
Key words:
first exit time, boundary crossing problems for stochastic processes, asymptotic expansion, infinitely divisible factorization.
Received: 07.10.1997
Citation:
V. I. Lotov, V. R. Khodzhibaev, “On Limit Theorems for the First Exit Time from a Strip for Stochastic Processes. II”, Mat. Tr., 2:1 (1999), 121–139; Siberian Adv. Math., 8:4 (1998), 41–59
Linking options:
https://www.mathnet.ru/eng/mt148 https://www.mathnet.ru/eng/mt/v2/i1/p121
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