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Teoriya Veroyatnostei i ee Primeneniya, 1974, Volume 19, Issue 2, Pages 416–421 (Mi tvp2889)  

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
Full-text PDF (322 kB) Citations (4)
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].
English version:
Theory of Probability and its Applications, 1975, Volume 19, Issue 2, Pages 399–403
DOI: https://doi.org/10.1137/1119047
Bibliographic databases:
Document Type: Article
Language: Russian
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
Citation in format AMSBIB
\Bibitem{Sak74}
\by A.~I.~Sakhanenko
\paper On the speed of convergence in a~boundary problem
\jour Teor. Veroyatnost. i Primenen.
\yr 1974
\vol 19
\issue 2
\pages 416--421
\mathnet{http://mi.mathnet.ru/tvp2889}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=343350}
\zmath{https://zbmath.org/?q=an:0325.60073}
\transl
\jour Theory Probab. Appl.
\yr 1975
\vol 19
\issue 2
\pages 399--403
\crossref{https://doi.org/10.1137/1119047}
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  • https://www.mathnet.ru/eng/tvp/v19/i2/p416
  • This publication is cited in the following 4 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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