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Teoriya Veroyatnostei i ee Primeneniya, 1982, Volume 27, Issue 1, Pages 141–142
(Mi tvp2277)
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This article is cited in 4 scientific papers (total in 4 papers)
Short Communications
Rate of convergence in a boundary problem
K. A. Borovkov Moscow
Abstract:
Let $\{\xi_i\}_{i\ge 1}$and $\{\tau_i\}_{i\ge 1}$ be the sequences of i. i . d. r. v. 's such that $\tau_1\ge 0$ a. s., $\mathbf E\xi_1=0$, $\mathbf E\xi_1^2=\mathbf E\tau_1=1$ and
$$
S_n=\sum_{i=1}^n\xi_i,\quad T_n=\sum_{i=1}^n\tau_i,\quad\nu(t)=max\{k\ge 0:\,T_k\le t\}.
$$
We investigate the rate of convergence
\begin{gather*}
\mathbf P\{g^-(n^{-1}T_k)<n^{-1/2}S_k<g^+(n^{-1}T_k),\ k\le \nu(n)\}\to\\
\to\mathbf P\{g^-(t)<w(t)<g^+(t),\ 0\le t\le 1\},\qquad n\to\infty
\end{gather*}
where $w(t)$ is a standard Wiener process and $g^\pm(t)$ are Lipschitz functions.
Received: 25.08.1981
Citation:
K. A. Borovkov, “Rate of convergence in a boundary problem”, Teor. Veroyatnost. i Primenen., 27:1 (1982), 141–142; Theory Probab. Appl., 27:1 (1982), 148–149
Linking options:
https://www.mathnet.ru/eng/tvp2277 https://www.mathnet.ru/eng/tvp/v27/i1/p141
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