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Inequalities in a Two-Sided Boundary Crossing Problem for Stochastic Processes
Siberian Mathematical Journal ( IF 0.5 ) Pub Date : 2021-05-27 , DOI: 10.1134/s0037446621030083 V. I. Lotov , V. R. Khodjibayev
中文翻译:
随机过程的双边边界交叉问题中的不等式
更新日期:2021-05-28
Siberian Mathematical Journal ( IF 0.5 ) Pub Date : 2021-05-27 , DOI: 10.1134/s0037446621030083 V. I. Lotov , V. R. Khodjibayev
Considering a stationary stochastic process with independent increments (Lévy process), we study the probability of the first exit from a strip through its upper boundary. We find the two-sided inequalities for this probability under various conditions on the process.
中文翻译:
随机过程的双边边界交叉问题中的不等式
考虑具有独立增量的平稳随机过程(Lévy 过程),我们研究了从带状体第一次通过其上边界退出的概率。我们在过程的各种条件下找到此概率的两侧不等式。