Bounding the first passage time on an average

Victor H. De La Peña and Ming Yang

Statistics & Probability Letters, 2004, vol. 67, issue 1, 1-7

Abstract: Let [zeta]t, t[greater-or-equal, slanted]0, be a process taking nonnegative values, Tr=inf{t>0;[zeta]t>r}, r>0, and [psi] a nondecreasing function. An interesting question is: Is it possible to bound E[psi](Tr) above and below by expectations of functions of [zeta]t? We answer this question and give the desired upper and lower bounds.

Keywords: Moment; of; the; first; passage; time; Expectation; of; a; function; of; the; supremum; of; a; nonnegative; process (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (2)

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