Wald’s equation

Let X1,X2,,XN be a sequence of N iid random variablesMathworldPlanetmath distributed as random variable X, such that

  1. 1.

    N>0 is itself a random variable (integer-valued),

  2. 2.

    the expectation of X, E[X]<, and

  3. 3.




The integer N from above can be viewed as a stopping time for the stochastic processMathworldPlanetmath {Xii+}.

Title Wald’s equation
Canonical name WaldsEquation
Date of creation 2013-03-22 14:40:04
Last modified on 2013-03-22 14:40:04
Owner CWoo (3771)
Last modified by CWoo (3771)
Numerical id 8
Author CWoo (3771)
Entry type Theorem
Classification msc 60K05
Classification msc 60G40