On some boundary crossing problems for Gaussian random walks
成果类型：
Article
署名作者：
Lotov, VI
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
发表日期：
1996
页码：
2154-2171
关键词：
摘要：
We consider random walks with Gaussian distribution of summands. New representations for Wiener-Kopf factorization components are obtained. The factorization method is used to study the distribution of the excess over one-sided and two-sided boundaries. asymptotic expansions for these distributions and for the expectation of the first exit time are obtained under the assumption that the boundaries tend to infinity.