Bounds for the probability to leave the interval

V.I. Lotov

Statistics & Probability Letters, 2019, vol. 145, issue C, 141-146

Abstract: We obtain upper and lower bounds for the probability that random walk leaves the strip through the upper boundary.

Keywords: Random walk; Two-sided boundary crossing problem; Ruin probability; Sequential probability ratio test (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2018.09.012

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