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Sibirskii Matematicheskii Zhurnal, 2021, Volume 62, Number 3, Pages 563–571
DOI: https://doi.org/10.33048/smzh.2021.62.308 (Mi smj7577) 		 
This article is cited in 2 scientific papers (total in 2 papers)

Inequalities in a two-sided boundary crossing problem for stochastic processes

V. I. Lotovab, V. R. Khodzhibaevcd

a Sobolev Institute of Mathematics, Novosibirsk, Russia
b Novosibirsk State University, Novosibirsk, Russia
c Namangan Engineering Construction Institute, Namangan, Uzbekistan
d Institute of Mathematics, Namangan Regional Department, Uzbekistan Academy of Sciences, Namangan, Uzbekistan
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DOI: https://doi.org/10.33048/smzh.2021.62.308
Abstract: Considering a stationary stochastic process with independent increments (Lévy process), we study the probability of the first exit from a strip through its upper boundary. We find the two-sided inequalities for this probability under various conditions on the process.
Keywords: stationary stochastic process with independent increments, first exit time, boundary crossing problem, ruin probability.
Funding agency Grant number
Siberian Branch of Russian Academy of Sciences I.1.3 (проект № 0314-2016-0008)
V. I. Lotov was partially supported by the Program of Basic Scientific Research of the Siberian Branch of the Russian Academy of Sciences (Grant No. I.1.3, Project 0314–2016–0008).
Received: 08.09.2020
Revised: 08.09.2020
Accepted: 18.11.2020
English version:
Siberian Mathematical Journal, 2021, Volume 62, Issue 3, Pages 455–461
DOI: https://doi.org/10.1134/S0037446621030083
Bibliographic databases:
Document Type: Article
UDC: 519.21
Language: Russian
Citation: V. I. Lotov, V. R. Khodzhibaev, “Inequalities in a two-sided boundary crossing problem for stochastic processes”, Sibirsk. Mat. Zh., 62:3 (2021), 563–571; Siberian Math. J., 62:3 (2021), 455–461
Citation in format AMSBIB
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\paper Inequalities in a~two-sided boundary crossing problem for stochastic processes
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    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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