An extension of a lemma of Wald

Author:

Robbins H.,Samuel E.

Abstract

We define a natural extension of the concept of expectation of a random variable y as follows: M(y) = a if there exists a constant − ∞ ≦ a ≦ ∞ such that if y 1, y 2, … is a sequence of independent identically distributed (i.i.d.) random variables with the common distribution of y then

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. An optimal stopping problem for random walks with non-zero drift;Journal of Applied Probability;1995-12

2. Arret par regions de {Sn/∣n∣, n∈N 2};Lecture Notes in Mathematics;1983

3. On Wald's equations in continuous time;Journal of Applied Probability;1970-04

4. On the existence of the expectation of randomly stopped sums;Journal of Applied Probability;1967-11

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