On the Size of the First Jump for a Process with Independent Increments

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Previous article Next article On the Size of the First Jump for a Process with Independent IncrementsA. A. Mogul’skiiA. A. Mogul’skiihttps://doi.org/10.1137/1121060PDFBibTexSections ToolsAdd to favoritesExport CitationTrack CitationsEmail SectionsAbout[1] B. A. Rogozin, On the distribution of functionals connected with boundary problems for processes with independent increments, Theory Prob. Applications, 11 (1966), 580–591 10.1137/1111062 LinkGoogle Scholar[2] W. Feller, An Introduction to Probability Theory and Its Applications, Vol. 2, Wiley, New York, 1968 0598.60002 Google Scholar[3] K. Yushida, Functional Analysis, Mir, Moscow, 1967, (In Russian.) Google Scholar[4] A. A. Borovkov, Probabilistic methods in the theory of mass service (queueing “Nauka”), Moscow, 1972, (In Russian.) 0984.60050 Google Scholar[5] E. A. Pecherskii and , B. A. Rogozin, On joint distributions of random variables associated with fluctuations of a process with independent increments, Theory Prob. Applications, 14 (1969), 410–423 10.1137/1114054 LinkGoogle Scholar[6] Yu. V. Prokhorov, Convergence of random processes and limit theorems in probability theory, Theory Prob. Applications, 1 (1956), 158–214 10.1137/1101016 LinkGoogle Scholar[7] A. I. Fokht, On the distribution of the first jump for a generalized Poisson process with drift, Theory Prob. Applications, 19 (1974), 159–163 10.1137/1119014 0318.60062 LinkGoogle Scholar[8] A. A. Mogul'skii, Absolute estimates for moments of certain boundary functionals, Theory Prob. Applications, 18 (1973), 340–347 10.1137/1118035 0298.60031 LinkGoogle Scholar Previous article Next article FiguresRelatedReferencesCited byDetails Inequalities in a Two-Sided Boundary Crossing Problem for Stochastic Processes27 May 2021 | Siberian Mathematical Journal, Vol. 62, No. 3 Cross Ref Generalized parking problems for levy processesSequential Analysis, Vol. 17, No. 2 Cross Ref Asymptotic Solution of the Kiefer–Weiss Problem for Processes with Independent IncrementsV. P. Dragalin and A. A. Novikov17 July 2006 | Theory of Probability & Its Applications, Vol. 32, No. 4AbstractPDF (865 KB)Asymptotic expansions for 2-SPRT19 September 2006 Cross Ref Volume 21, Issue 3| 1977Theory of Probability & Its Applications History Submitted:15 January 1976Published online:28 July 2006 InformationCopyright © 1977 © Society for Industrial and Applied MathematicsPDF Download Article & Publication DataArticle DOI:10.1137/1121060Article page range:pp. 470-481ISSN (print):0040-585XISSN (online):1095-7219Publisher:Society for Industrial and Applied Mathematics