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Sibirskii Matematicheskii Zhurnal, 2011, Volume 52, Number 4, Pages 765–776 (Mi smj2237)  
This article is cited in 3 scientific papers (total in 3 papers)

A continuity theorem in the ruin problem

I. S. Borisova, A. M. Shoisoronovb

a Sobolev Institute of Mathematics, Novosibirsk, Russia
b Novosibirsk State University, Novosibirsk, Russia
Full-text PDF (286 kB) Citations (3)
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Abstract: For a random walk, we prove a continuity theorem for the exit time from a strip containing the abscissa axis, including the case of the exit time from a strip through an a priori chosen boundary. In particular, we compute the ruin probabilities for two classes of centered distributions.
Keywords: random walk, Markov property of the jump distribution, exit time, ruin probability, two-sided generalized geometric distribution, two-sided exponential distribution.
Received: 05.01.2011
English version:
Siberian Mathematical Journal, 2011, Volume 52, Issue 4, Pages 602–611
DOI: https://doi.org/10.1134/S0037446611040057
Bibliographic databases:
Document Type: Article
UDC: 519.21
Language: Russian
Citation: I. S. Borisov, A. M. Shoisoronov, “A continuity theorem in the ruin problem”, Sibirsk. Mat. Zh., 52:4 (2011), 765–776; Siberian Math. J., 52:4 (2011), 602–611
Citation in format AMSBIB
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    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Сибирский математический журнал Siberian Mathematical Journal
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