The Ruin Problem for Sums of Dependent Random Variables
Canadian mathematical bulletin, Tome 23 (1980) no. 3, pp. 333-337
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In this paper we show how to compute the probability that a sequence Zn = X0 + ... + Xn of partial sums of dependent random variables, each taking on the values ±1, will first leave an interval (a, b) at a; and how to compute the expected time it takes for the partial sums to leave the interval (a, b).
Johnson, Dudley Paul. The Ruin Problem for Sums of Dependent Random Variables. Canadian mathematical bulletin, Tome 23 (1980) no. 3, pp. 333-337. doi: 10.4153/CMB-1980-047-2
@article{10_4153_CMB_1980_047_2,
author = {Johnson, Dudley Paul},
title = {The {Ruin} {Problem} for {Sums} of {Dependent} {Random} {Variables}},
journal = {Canadian mathematical bulletin},
pages = {333--337},
year = {1980},
volume = {23},
number = {3},
doi = {10.4153/CMB-1980-047-2},
url = {http://geodesic.mathdoc.fr/articles/10.4153/CMB-1980-047-2/}
}
TY - JOUR AU - Johnson, Dudley Paul TI - The Ruin Problem for Sums of Dependent Random Variables JO - Canadian mathematical bulletin PY - 1980 SP - 333 EP - 337 VL - 23 IS - 3 UR - http://geodesic.mathdoc.fr/articles/10.4153/CMB-1980-047-2/ DO - 10.4153/CMB-1980-047-2 ID - 10_4153_CMB_1980_047_2 ER -
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