On a conjecture for the non-existence of the expectation of randomly stopped sums
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Published:1995-12
Issue:4
Volume:32
Page:1138-1141
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ISSN:0021-9002
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Container-title:Journal of Applied Probability
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language:en
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Short-container-title:Journal of Applied Probability
Author:
Lefèvre Claude,Utev Sergey
Abstract
In a recent paper on the validity of Wald's equation, Roters (1994) raised an important question on the non-existence of the expectation of randomly stopped sums. The purpose of this note is to answer the question in the affirmative. As a consequence, an old question by Taylor (1972) also gets a positive answer.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability