IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v66y1997i1p115-145.html
   My bibliography  Save this article

Tails of passage-times and an application to stochastic processes with boundary reflection in wedges

Author

Listed:
  • Aspandiiarov, S.
  • Iasnogorodski, R.

Abstract

In this paper we obtain lower bounds for the tails of the distributions of the first passage-times for some stochastic processes. We consider first discrete parameter processes with asymptotically small drifts taking values in + and prove for them a general result giving lower bounds for these tails. As an application of the obtained results, we obtain lower bounds for the tails of the distributions of the first passage-times for reflected random walks in a quadrant with zero-drift in the interior. The latter bounds are then used to get explicit conditions for the finiteness or not of the moments of the first passage-time to the origin for a Brownian motion with oblique reflection in a wedge.

Suggested Citation

  • Aspandiiarov, S. & Iasnogorodski, R., 1997. "Tails of passage-times and an application to stochastic processes with boundary reflection in wedges," Stochastic Processes and their Applications, Elsevier, vol. 66(1), pages 115-145, February.
    • Handle: RePEc:eee:spapps:v:66:y:1997:i:1:p:115-145
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(96)00118-4
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Adam, Etienne, 2018. "Slow recurrent regimes for a class of one-dimensional stochastic growth models," Stochastic Processes and their Applications, Elsevier, vol. 128(9), pages 2905-2922.
    2. Hryniv, Ostap & Menshikov, Mikhail V. & Wade, Andrew R., 2013. "Excursions and path functionals for stochastic processes with asymptotically zero drifts," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 1891-1921.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:66:y:1997:i:1:p:115-145. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.