Approximation of the expectation of the first exit time from an interval for a random walk

作者：Lotov V I^*

来源：Siberian Mathematical Journal, 2016, 57(1): 86-92.

DOI：10.1134/S0037446616010092

• random walk
• Wald's sequential test
• asymptotic expansions

We obtain asymptotic expansions for the expectation of the first exit time from an expanding strip for a random walk trajectory. We suppose that the distribution of random walk jumps satisfies the Cram,r condition on the existence of an exponential moment.

• 出版日期2016-1