Author:
Helland Inge S.,Nilsen Trygve S.
Abstract
Two independent i.i.d. sequences of random variables {Un
} and {Dn
} generate a Markov process {Xn
} by Xn
= max(Xn
–1 – Dn, Un
), n = 1, 2, …. ‘Exchange’ is defined as the event [Un > Xn
–1 – Dn
]. Conditions for existence of a limiting distribution for {Xn
} are established, and normalization is discussed when no limiting distribution exists. Finally the process {Xn
at the k th exchange; k = l, 2, …} and the time between consecutive exchanges are considered.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
7 articles.
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