Inequalities for first-exit probabilities and expected first-exit times of a random walk
| Autor(en): | Stadje, W. | Stichwörter: | First-exit time; Inequality; Integral equation; Integral equations; Iterative methods, Convergence rate; Partial sum; Random walk; Rate of convergence; Successive approximation; Successive approximation, Random processes | Erscheinungsdatum: | 1996 | Herausgeber: | Marcel Dekker Inc. | Journal: | Communications in Statistics. Part C: Stochastic Models | Volumen: | 12 | Ausgabe: | 1 | Startseite: | 103 | Seitenende: | 120 | Zusammenfassung: | For the partial sum process of i.i.d. random variables we derive sequences of new upper and lower bounds for the probability that it will exit from a given compact interval to the left and for the expected first-exit time. The sequences are generated by the same iterative procedure starting from different initial values. They converge monotonically to the desired first-exit quantities at an exponential rate. Copyright © 1996 by Marcel Dekker, Inc. |
ISSN: | 08820287 | DOI: | 10.1080/15326349608807375 | Externe URL: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-0030353551&doi=10.1080%2f15326349608807375&partnerID=40&md5=b292ab735cc32d3932fe8eacef78bc05 |
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