Article ID: | iaor19971692 |
Country: | United States |
Volume: | 12 |
Issue: | 1 |
Start Page Number: | 103 |
End Page Number: | 120 |
Publication Date: | Jan 1996 |
Journal: | Communications in Statistics - Stochastic Models |
Authors: | Stadje Wolfgang |
For the partial sum process of i.i.d. random variables the paper derives sequences of new upper and lower bounds for the probability that it will exit from a given compact interval to the left and for the expected first-exit time. The sequences are generated by the same iterative procedure starting from different initial values. They converge monotonically to the desired first-exit quantities at an exponential rate.