2 citations · 4 across the 6 of their papers we have counts for
6 papers
Structural Properties of Conditioned Random Walks on Integer Lattices with Random Local Constraints
Sergey Foss, Alexander Sakhanenko
We consider a random walk on a multidimensional integer lattice with random bounds on local times, conditioned on the event that it hits a high level before its death. We introduce…
Exponential bounds of ruin probabilities for non-homogeneous risk models
Qianqian Zhou, Alexander Sakhanenko, Junyi Guo
Lundberg-type inequalities for ruin probabilities of non-homogeneous risk models are presented in this paper. By employing martingale method, the upper bounds of ruin probabilities…
First-passage times for random walks in the triangular array setting
Denis Denisov, Alexander Sakhanenko, Vitali Wachtel
In this paper we continue our study of exit times for random walks with independent but not necessarily identical distributed increments. Our paper "First-passage times for random…
Lundberg-type inequalities for non-homogeneous risk models
Qianqian Zhou, Alexander Sakhanenko, Junyi Guo
In this paper, we investigate the ruin probabilities of non-homogeneous risk models. By employing martingale method, the Lundberg-type inequalities of ruin probabilities of non-hom…
First-passage times over moving boundaries for asymptotically stable walks
Denis Denisov, Alexander Sakhanenko, Vitali Wachtel
Let be a random walk wih independent and identically distributed increments and let be a sequence of real numbers. Let denote the first tim…
First-passage times for random walks with non-identically distributed increments
Denis Denisov, Alexander Sakhanenko, Vitali Wachtel
We consider random walks with independent but not necessarily identical distributed increments. Assuming that the increments satisfy the well-known Lindeberg condition, we investig…