Geodesic
Inequalities for the average first exit time from the strip for the Levy process
Sibirskie èlektronnye matematičeskie izvestiâ, Tome 19 (2022) no. 2, pp. 852-860

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We study first exit time from a strip for a homogeneous stochastic process with independent increments (the Levy process). Two-sided inequalities are found for the average of this exit time under various conditions on the process.
Keywords: stochastic Levy process, first exit time, boundary crossing problem, ruin probability. 
@article{SEMR_2022_19_2_a19,
     author = {V. I. Lotov and V. R. Khodzhibaev},
     title = {Inequalities for the average first exit time from the strip for the {Levy} process},
     journal = {Sibirskie \`elektronnye matemati\v{c}eskie izvesti\^a},
     pages = {852--860},
     publisher = {mathdoc},
     volume = {19},
     number = {2},
     year = {2022},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/SEMR_2022_19_2_a19/}
}
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V. I. Lotov; V. R. Khodzhibaev. Inequalities for the average first exit time from the strip for the Levy process. Sibirskie èlektronnye matematičeskie izvestiâ, Tome 19 (2022) no. 2, pp. 852-860. http://geodesic.mathdoc.fr/item/SEMR_2022_19_2_a19/