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Inequalities in a Two-Sided Boundary Crossing Problem for Stochastic Processes

V. I. LotovNovosibirsk State University, Novosibirsk, RussiaV. R. KhodjibayevInstitute of Mathematics, Namangan Regional Department, Uzbekistan Academy of Sciences, Namangan, Uzbekistan

Siberian Mathematical Journaljournal2021en

ABI

Annotatsiya

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.

Mavzular

Advanced Statistical Process Monitoring Advanced Queuing Theory Analysis Supply Chain and Inventory Management

Identifikatorlar

DOI: 10.1134/s0037446621030083

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