We derive universal bounds for the finite-time survival probability of the stochastic work extracted in steady-state heat engines. We also find estimates for the time-dependent thresholds that the stochastic work does not surpass with a prescribed probability. At long times, the tightest thresholds are proportional to the large deviation functions of stochastic entropy production. Our results, which entail an extension of martingale theory for entropy production, are tested with numerical simulations of a stochastic photoelectic device.
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