On the time of first level crossing and inverse Gaussian distribution

Autor:	Malinovskii, Vsevolod K.
Rok vydání:	2017
Předmět:	Mathematics - Probability
Druh dokumentu:	Working Paper
Popis:	We propose a new approximation for the distribution of the time of the first level $u$ crossing by the random process $\homV{s}-cs$, where $\homV{s}$, $s>0$, is compound renewal process and $c>0$. It is competitive with respect to existing approximations, particularly in the region around the critical point $c=\cS$ which separates processes with positive and negative drifts. This approximation is tightly related to inverse Gaussian distributions.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1708.08665 Zobrazit plný text záznamu View this record from Arxiv