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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 $\alpha \in ( 1,2].$
Ключевые слова:
Perturbed random walk, first passage time, conditional probability of crossing the boundary, overshoot of a random walk.
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Статья
MSC: 60G50
Язык публикации: английский
Образец цитирования:
S. Aliyev, F. Rahimov, M. Navidi, “On asymptotic behaviour of conditional probability of crossing the nonlinear boundary by a perturbed random walk”, Theory Stoch. Process., 17(33):1 (2011), 5–11
Цитирование в формате AMSBIB
\RBibitem{AliRagNav11}
\by S.~Aliyev, F. Rahimov, M.~Navidi
\paper On asymptotic behaviour of conditional probability of crossing the nonlinear boundary by a perturbed random walk
\jour Theory Stoch. Process.
\yr 2011
\vol 17(33)
\issue 1
\pages 5--11
\mathnet{http://mi.mathnet.ru/thsp35}
\mathscinet{http://www.ams.org/mathscinet-getitem?mr=3076551}
\zmath{https://zbmath.org/?q=an:1249.60084}
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