On Convergence in $r$-Mean of Some First Passage Times and Randomly Indexed Partial Sums
Gut, Allan
Ann. Probab., Tome 2 (1974) no. 6, p. 321-323 / Harvested from Project Euclid
Let $S_n, n = 1,2, \cdots$ denote the partial sums of i.i.d. random variables with positive, finite mean and with a finite moment of order $r, 1 \leqq r < 2$. Let $Z_n, n = 1,2, \cdots$ denote the partial sums of i.i.d. random variables with a finite moment of order $r, 0 < r < 2$, and with mean 0 if $1 \leqq r < 2$. Let $N(c) = \min \{n; S_n > c\}, c \geqq 0$. Theorem 1 states that $N(c)$, (suitably normalized), tends to 0 in $r$-mean as $c \rightarrow \infty$. The first part of that proof follows by applying Theorem 2, which generalizes the known result $E|Z_n|^r = o(n)$, as $n\rightarrow \infty$ to randomly indexed partial sums.
Publié le : 1974-04-14
Classification:  First passage time,  stopping time,  martingale,  submartingale,  60G40,  60G50,  60G45,  60K05
@article{1176996712,
     author = {Gut, Allan},
     title = {On Convergence in $r$-Mean of Some First Passage Times and Randomly Indexed Partial Sums},
     journal = {Ann. Probab.},
     volume = {2},
     number = {6},
     year = {1974},
     pages = { 321-323},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996712}
}
Gut, Allan. On Convergence in $r$-Mean of Some First Passage Times and Randomly Indexed Partial Sums. Ann. Probab., Tome 2 (1974) no. 6, pp.  321-323. http://gdmltest.u-ga.fr/item/1176996712/