Limiting distribution of the exit time out of an expanding interval and of the position at this moment of a process with independent increments and one-signed jumps
Teoriâ veroâtnostej i ee primeneniâ, Tome 23 (1978) no. 2, pp. 419-425
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Let $\xi(t)$ be a process with independent increments and negative jumps starting from a point $x\in(0,T)$ and let $\tau_T$ be the exit time out of the interval $(0,T)$. The limiting distribution (as $T\to\infty$) of the pair $(\tau_T/T^2,\xi(\tau_T))$ is found.
@article{TVP_1978_23_2_a18,
author = {V. M. \v{S}urenkov},
title = {Limiting distribution of the exit time out of an expanding interval and of the position at this moment of a~process with independent increments and one-signed jumps},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {419--425},
year = {1978},
volume = {23},
number = {2},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_1978_23_2_a18/}
}
TY - JOUR AU - V. M. Šurenkov TI - Limiting distribution of the exit time out of an expanding interval and of the position at this moment of a process with independent increments and one-signed jumps JO - Teoriâ veroâtnostej i ee primeneniâ PY - 1978 SP - 419 EP - 425 VL - 23 IS - 2 UR - http://geodesic.mathdoc.fr/item/TVP_1978_23_2_a18/ LA - ru ID - TVP_1978_23_2_a18 ER -
%0 Journal Article %A V. M. Šurenkov %T Limiting distribution of the exit time out of an expanding interval and of the position at this moment of a process with independent increments and one-signed jumps %J Teoriâ veroâtnostej i ee primeneniâ %D 1978 %P 419-425 %V 23 %N 2 %U http://geodesic.mathdoc.fr/item/TVP_1978_23_2_a18/ %G ru %F TVP_1978_23_2_a18
V. M. Šurenkov. Limiting distribution of the exit time out of an expanding interval and of the position at this moment of a process with independent increments and one-signed jumps. Teoriâ veroâtnostej i ee primeneniâ, Tome 23 (1978) no. 2, pp. 419-425. http://geodesic.mathdoc.fr/item/TVP_1978_23_2_a18/