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Teoriya Veroyatnostei i ee Primeneniya, 1970, Volume 15, Issue 2, Pages 179–199 (Mi tvp1704)  

This article is cited in 24 scientific papers (total in 24 papers)

On the speed of convergence in a boundary problem. I

S. V. Nagaev

Novosibirsk
Abstract: Let $\xi_1,\xi_2,\dots$ be a sequence of independent equally distributed random variables with variance 1.
Put $a=\mathbf M\xi_1$, $c_3=\mathbf M|\xi_1-a|^3$.
Let the functions $g_i(t)$, $t\ge0$, $i=1,2$, satisfy the conditions
\begin{gather*} g_2(t)<g_1(t),\quad g_2(0)<0<g_1(0), \\ |g_i(t+h)-g_i(t)|<Kh,\quad h>0, \end{gather*}
where $K$ is some constant.
Put
$$ S_{nk}=\frac1{\sqrt n}\sum_{i=1}^k(\xi_i-a). $$
Let
\begin{gather*} W_n=\mathbf P\{g_2(k/n)<S_{nk}<g_1(k/n),\quad k=\overline{1,n}\}; \\ W=\mathbf P\{g_2(t)<\xi(t)-\xi(0)<g_1(t),\quad0\le t\le1\}, \end{gather*}
where $\xi(t)$ is a process of Brownian motion.
The following assertion is proved.
Theorem.{\em There exists an absolute constant $L$ such that
$$ |W_h-W|<L\frac{c_3^2(K+1)}{\sqrt n}. $$
}
Received: 27.12.1968
English version:
Theory of Probability and its Applications, 1970, Volume 15, Issue 2, Pages 163–186
DOI: https://doi.org/10.1137/1115026
Bibliographic databases:
Language: Russian
Citation: S. V. Nagaev, “On the speed of convergence in a boundary problem. I”, Teor. Veroyatnost. i Primenen., 15:2 (1970), 179–199; Theory Probab. Appl., 15:2 (1970), 163–186
Citation in format AMSBIB
\Bibitem{Nag70}
\by S.~V.~Nagaev
\paper On the speed of convergence in a~boundary problem.~I
\jour Teor. Veroyatnost. i Primenen.
\yr 1970
\vol 15
\issue 2
\pages 179--199
\mathnet{http://mi.mathnet.ru/tvp1704}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=267628}
\zmath{https://zbmath.org/?q=an:0206.19404}
\transl
\jour Theory Probab. Appl.
\yr 1970
\vol 15
\issue 2
\pages 163--186
\crossref{https://doi.org/10.1137/1115026}
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  • https://www.mathnet.ru/eng/tvp/v15/i2/p179
    Cycle of papers
    This publication is cited in the following 24 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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