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
Citer cet article
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/
@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
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.
