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Teoriya Veroyatnostei i ee Primeneniya, 1981, Volume 26, Issue 2, Pages 287–301 (Mi tvp2511)  

This article is cited in 3 scientific papers (total in 3 papers)

On the exit time of sums of bounded random variables out of a curve strip

A. A. Novikov

Moscow
Full-text PDF (829 kB) Citations (3)
Abstract: Let $\xi_k$ be independent bounded random variables with $\mathbf E\xi_k=0$, $\mathbf E\xi_k^2=V_k>0$, and $f(k)$, $g(k)$ be some deterministic functions. We investigate the rough asymptotics of the probability
$$ \mathbf P\biggl\{\biggl|\sum_1^k\xi_i+f(k)\biggr|\le g(k),\ m\le k\le n\biggr\},\qquad n\to\infty. $$
It is proved that under some assumptions on $f$ and $g$ this asymptotics has the form
$$ \operatorname{exp}\biggl\{-\frac{\pi^2}{8}\sum_{k=m}^n V_k g^{-2}(k)(1+o(1))\biggr\} $$
or
$$ \operatorname{exp}\biggl\{-1/2\sum_{k=m+1}^nV_k^{-1}|f(k)-f(k-1)|^2(1+o(1))\biggr\}. $$
Our method is based on a change of probability measure which reduces the problem to the case $f(k)\equiv 0$, $g(k)\equiv 1$.
Received: 29.04.1980
English version:
Theory of Probability and its Applications, 1982, Volume 26, Issue 2, Pages 279–292
DOI: https://doi.org/10.1137/1126029
Bibliographic databases:
Language: Russian
Citation: A. A. Novikov, “On the exit time of sums of bounded random variables out of a curve strip”, Teor. Veroyatnost. i Primenen., 26:2 (1981), 287–301; Theory Probab. Appl., 26:2 (1982), 279–292
Citation in format AMSBIB
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\by A.~A.~Novikov
\paper On the exit time of sums of bounded random variables out of a~curve strip
\jour Teor. Veroyatnost. i Primenen.
\yr 1981
\vol 26
\issue 2
\pages 287--301
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\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=616621}
\zmath{https://zbmath.org/?q=an:0481.60032|0454.60052}
\transl
\jour Theory Probab. Appl.
\yr 1982
\vol 26
\issue 2
\pages 279--292
\crossref{https://doi.org/10.1137/1126029}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=A1981NJ71600004}
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  • https://www.mathnet.ru/eng/tvp/v26/i2/p287
  • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
     
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