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On Upcrossing Probabilities
Published online by Cambridge University Press: 20 November 2018
Extract
In [1] a simple but ingenious technique was developed for calculating hitting probabilities for submartingales (or martingales or supermartingales) subject to various constraints. This technique is extended here in order to find sharp bounds on upcrossing probabilities for submartingales subject to constraints.
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- Research Article
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- Copyright © Canadian Mathematical Society 1977