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Sibirskie Èlektronnye Matematicheskie Izvestiya [Siberian Electronic Mathematical Reports], 2022, Volume 19, Issue 2, Pages 852–860
DOI: https://doi.org/10.33048/semi.2022.19.071 (Mi semr1544) 		 
Probability theory and mathematical statistics

Inequalities for the average first exit time from the strip for the Levy process

V. I. Lotovab, V. R. Khodzhibaevcd

a Sobolev Institute of Mathematics, pr. Koptyuga, 4, 630090, Novosibirsk, Russia
b Novosibirsk State University, Pirogova str., 1, 630090, Novosibirsk, Russia
c Institute of Mathematics Uzbekistan Akademy of Sciences, Universitetskaya str., 46, 100174, Tashkent, Uzbekistan
d Namangan Engineering - construction Institute, Islam Karimov str., 12, 160103, Namangan, Uzbekistan
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DOI: https://doi.org/10.33048/semi.2022.19.071
Abstract: We study first exit time from a strip for a homogeneous stochastic process with independent increments (the Levy process). Two-sided inequalities are found for the average of this exit time under various conditions on the process.
Keywords: stochastic Levy process, first exit time, boundary crossing problem, ruin probability.
Funding agency Grant number
Russian Science Foundation 22-21-00396
The work is supported by Russian Science Foundation (grant 22-21-00396).
Received July 25, 2022, published November 11, 2022
Bibliographic databases:
Document Type: Article
UDC: 519.21
MSC: 60G50
Language: Russian
Citation: V. I. Lotov, V. R. Khodzhibaev, “Inequalities for the average first exit time from the strip for the Levy process”, Sib. Èlektron. Mat. Izv., 19:2 (2022), 852–860
Citation in format AMSBIB
\Bibitem{LotKho22}
\by V.~I.~Lotov, V.~R.~Khodzhibaev
\paper Inequalities for the average first exit time from the strip for the Levy process
\jour Sib. \`Elektron. Mat. Izv.
\yr 2022
\vol 19
\issue 2
\pages 852--860
\mathnet{http://mi.mathnet.ru/semr1544}
\crossref{https://doi.org/10.33048/semi.2022.19.071}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=4508353}
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