This article is cited in 1 paper

Short Communications

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

V. M. Šurenkov

Kiev

Abstract: 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.

Received: 10.06.1976

 English version: Theory of Probability and its Applications, 1979, 23:2, 402–407

Bibliographic databases:

• 
•