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Teoriya Veroyatnostei i ee Primeneniya, 1974, Volume 19, Issue 2, Pages 416–421
(Mi tvp2889)
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This article is cited in 4 scientific papers (total in 4 papers)
Short Communications
On the speed of convergence in a boundary problem
A. I. Sakhanenko Novosibirsk
Abstract:
Let $\xi_1,\xi_2,\dots$ be a sequence of independent equally distributed random variables with $\mathbf M\xi_1=0$, $\mathbf D\xi_1=1$, $c_3=\mathbf M|\xi_1|^3$. Suppose that 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\text{for all}\quad h>0,
\end{gather*}
where $K$ is some constant.
Put
\begin{gather*}
W_n(t)=\mathbf P\biggl(g_2\biggl(\frac kn\biggr)<\frac1{\sqrt n}\sum_{i=1}^k\xi_i<g_1\biggl(\frac kn\biggr),\quad1\le k\le nT\biggr),
\\
W(t)=\mathbf P(g_2(t)<\xi(t)<g_1(t),\quad0<t<T),
\end{gather*}
where $\xi(t)$ is a Brownian motion process, $\xi(0)=0$.
The following assertions are proved.
Theorem 1. Theore exists an absolute constant $L_1$ such that
$$
|W_n(1)-W(1)|\le L_1\frac{(K+1)c_3}{\sqrt n}.
$$
Theorem 2. There exists an absolute constant $L_2 \le L_1$ such that
$$
|W_n(\infty)-W(\infty)|\le L_2\frac{Kc_3}{\sqrt n}.
$$
Theorem 1 is a generalization of the main result of [1] and [2].
Citation:
A. I. Sakhanenko, “On the speed of convergence in a boundary problem”, Teor. Veroyatnost. i Primenen., 19:2 (1974), 416–421; Theory Probab. Appl., 19:2 (1975), 399–403
Linking options:
https://www.mathnet.ru/eng/tvp2889 https://www.mathnet.ru/eng/tvp/v19/i2/p416
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