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Sibirskii Matematicheskii Zhurnal, 2016, Volume 57, Number 1, Pages 113–120
DOI: https://doi.org/10.17377/smzh.2016.57.109 (Mi smj2732) 		 
This article is cited in 3 scientific papers (total in 3 papers)

Approximation of the expectation of the first exit time from an interval for a random walk

V. I. Lotovab

a Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences, Novosibirsk, Russia
b Novosibirsk State University, Novosibirsk, Russia
Full-text PDF (344 kB) Citations (3)
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DOI: https://doi.org/10.17377/smzh.2016.57.109
Abstract: We obtain asymptotic expansions for the expectation of the first exit time from an expanding strip for a random walk trajectory. We suppose that the distribution of random walk jumps satisfies the Cramér condition on the existence of an exponential moment.
Keywords: random walk, Wald's sequential test, asymptotic expansions.
Funding agency Grant number
Russian Foundation for Basic Research 14-01-00220
The author was partially supported by the Russian Foundation for Basic Research (Grant 14-01-00220).
Received: 29.04.2015
English version:
Siberian Mathematical Journal, 2016, Volume 57, Issue 1, Pages 86–92
DOI: https://doi.org/10.1134/S0037446616010092
Bibliographic databases:
Document Type: Article
UDC: 519.21
Language: Russian
Citation: V. I. Lotov, “Approximation of the expectation of the first exit time from an interval for a random walk”, Sibirsk. Mat. Zh., 57:1 (2016), 113–120; Siberian Math. J., 57:1 (2016), 86–92
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
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