Email this article Approximation of the expectation of the first exit time from an interval for a random walk
- Authors: Lotov V.I.1,2
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Affiliations:
- Sobolev Institute of Mathematics
- Novosibirsk State University
- Issue: Vol 57, No 1 (2016)
- Pages: 86-92
- Section: Article
- URL: https://journals.rcsi.science/0037-4466/article/view/170329
- DOI: https://doi.org/10.1134/S0037446616010092
- ID: 170329
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Abstract
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 Cramér condition on the existence of an exponential moment.
About the authors
V. I. Lotov
Sobolev Institute of Mathematics; Novosibirsk State University
Author for correspondence.
Email: lotov@math.nsc.ru
Russian Federation, Novosibirsk; Novosibirsk
