SOME INEQUALITIES IN ONE TWO-BOUNDARY PROBLEM FOR STOCHASTIC PROCESSES WITH INDEPENDENT INCREMENTS

V.R. Khodjibaev; M.Z. Kulmatova

doi:10.5281/zenodo.7783795

V.R. Khodjibaev, M.Z. Kulmatova

Abstract. Two-sided estimates are found for the average value of the moment of the first exit from the interval of a homogeneous process with independent increments in the case when the process jumps are bounded from above and below

Keywords: homogeneous process with independent increments, first exit time, ruin probability.

References:

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