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Teoriya Veroyatnostei i ee Primeneniya, 1982, Volume 27, Issue 4, Pages 643–656
(Mi tvp2402)
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This article is cited in 16 scientific papers (total in 16 papers)
On the moment of crossing the one-sided nonlinear boundary by sums of independent random variables
A. A. Novikov Moscow
Abstract:
We consider the distribution of the stopping time $\tau=\inf\{n\ge 1:S_n\ge f(n)\}$, where $S_n$ is a sum of $n$ independent identically distributed random variables with zero mean. It is shown that for nondecreasing boundaries $f(n)$ the asymptotics of $\mathbf P\{\tau>n\}$ as $n\to\infty$ coinsides (up to some constant) with the asymptotics of the same probability corresponding to $f(n)=\mathrm{const}$ if
$\mathbf E(S_1^+)^2<\infty$. An analogous result is obtained in the case of nonincreasing boundaries under the assumption $\mathbf E\operatorname{exp}(\lambda S_1)<\infty$ for some $\lambda>0$. We obtain also the asymptotics of $\mathbf P\{\tau>n\}$ in the case when $\mathbf E\tau<\infty$ and the probability
$\mathbf P\{S_1<-x\}$ is regularly varying as $x\to\infty$.
Received: 14.07.1981
Citation:
A. A. Novikov, “On the moment of crossing the one-sided nonlinear boundary by sums of independent random variables”, Teor. Veroyatnost. i Primenen., 27:4 (1982), 643–656; Theory Probab. Appl., 27:4 (1983), 688–702
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