Sibirskie Èlektronnye Matematicheskie Izvestiya [Siberian Electronic Mathematical Reports]
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Sib. Èlektron. Mat. Izv.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

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
Full-text PDF (303 kB)
References:
PDF
HTML
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}
Linking options:
  • https://www.mathnet.ru/eng/semr1544
  • https://www.mathnet.ru/eng/semr/v19/i2/p852
    • Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Statistics & downloads:
    Abstract page:90
    Full-text PDF :28
    References:23
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024