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Sibirskie Èlektronnye Matematicheskie Izvestiya [Siberian Electronic Mathematical Reports], 2020, Volume 17, Pages 661–671
DOI: https://doi.org/10.33048/semi.2020.17.044 (Mi semr1239) 		 
This article is cited in 3 scientific papers (total in 3 papers)

Probability theory and mathematical statistics

On some inequalities in boundary crossing problems for random walks

V. I. Lotovab

a Sobolev Institute of Mathematics, 4, Koptyuga ave., Novosibirsk, 630090, Russia
b Novosibirsk State University, 1, Pirogova str., Novosibirsk, 630090, Russia
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DOI: https://doi.org/10.33048/semi.2020.17.044
Abstract: We obtain new upper and lower bounds for the probability that random walk with negative drift leaves the strip through the upper boundary. It is assumed that distributions of the walk increments do not have an exponential moment. The accuracy of known inequalities for the distribution of trajectory supremum is analyzed.
Keywords: random walk, two-sided boundary crossing problem, ruin probability, trajectory supremum.
Funding agency Grant number
Siberian Branch of Russian Academy of Sciences 1.1.3, проект № 0314-2016-0008
Russian Foundation for Basic Research 18-01-00101_а
Received March 2, 2020, published April 30, 2020
Bibliographic databases:
Document Type: Article
UDC: 519.21
MSC: 60G50
Language: Russian
Citation: V. I. Lotov, “On some inequalities in boundary crossing problems for random walks”, Sib. Èlektron. Mat. Izv., 17 (2020), 661–671
Citation in format AMSBIB
\Bibitem{Lot20}
\by V.~I.~Lotov
\paper On some inequalities in boundary crossing problems for random walks
\jour Sib. \`Elektron. Mat. Izv.
\yr 2020
\vol 17
\pages 661--671
\mathnet{http://mi.mathnet.ru/semr1239}
\crossref{https://doi.org/10.33048/semi.2020.17.044}
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    • This publication is cited in the following 3 articles:
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