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ЖУРНАЛЫ // Theory of Stochastic Processes // Архив

Theory Stoch. Process., 2011, том 17(33), выпуск 1, страницы 5–11 (Mi thsp35)

On asymptotic behaviour of conditional probability of crossing the nonlinear boundary by a perturbed random walk

S. Aliyeva, F. Rahimovb, M. Navidi

a Institute of Mathematics and Mechanics of the NAS of Azerbaijan
b Department of Probability Theory and Mathematical Statistics of the State University of Baku

Аннотация: We prove a theorem on the limit behavior of the conditional probability of crossing the nonlinear boundary by a perturbed random walk with a distribution which belongs to the domain of attraction of the stable law with index $\alpha \in \left( 1,2\right].$

Ключевые слова: Perturbed random walk, first passage time, conditional probability of crossing the boundary, overshoot of a random walk.

MSC: 60G50

Язык публикации: английский



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