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The Annals of Mathematical Statistics
1971, Vol. 42, No. 6, 2143-2146
BY WILLIAM D. SUDDERTH
University of Minnesota
THEOREM 1. The following inequalities hold whenever all the expectations occurring
in them are well-defined:
t(w) = inf{n: n ? s(w) and E(X* I Xi, ***, Xj)(C) < X'(W)+81.
By Levy's martingale convergence theorem (29.4, 12]), E(X* I X1, -., Xn) -X*
almost surely as n -+ oo and, hence, P[t < + oo] = 1. Thus t is a sv, t > s, and
2143
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2144 WILLIAM D. SUDDERTH
Finally, suppose EX* = + so. Let c be a real number and apply the case just
considered to the random variables min (Xn, c). Then
as c - + oo. 1
Certain results of Siegmund in [3] are closely related to the ideas of this note. In
particular, the previous theorem seems to follow from his Theorem 3(a) in the
special case that EX,- < + oo for all n.
THEOREM 2. Suppose Z and W are integrable random variables. If Xn < Z for all
n, then
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A "FATOU EQUATION" FOR RANDOMLY STOPPED VARIABLES 2145
Let (Q, F, P) be the unit interval with its Borel sets and Lebesgue measure. Let
{Zn}n 1 be independent rv's and assume Zn is uniformly distributed on [0, 1] for
all n. Now define random variables Yi7 for n = 1, 2, - and i = 1, , n by
Notice that the random vectors (y,n *n,- yn) n = 1, 2, are inde
Choose a sequence of positive integers n1 < n2 < ... such that
Hence, Xn - 0 a.s.
Let s be any sv. To prove (3), it suffices to exhibit a sv t such that t > s and
EXt 2 1.
Let w e Q and suppose s(co) = n. Letjn be the firstj such thatj > n and Xj = Y1m
for some m. Define
Hence, EXt = 1.
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2146 WILLIAM D. SUDDERTH
REFERENCES
[1] DUBINS, L. E. and SAVAGE, L. J. (1965). How to Gamble If You Must. McGraw-Hill, New York.
[2] LOEVE, M. (1963). Probability Theory. 3rd ed. Van Nostrand, Princeton.
[3] SIEGMUND, D. 0. (1967). Some problems in the theory of optimal stopping rules. Ann. Math.
Statist. 38 1627-1640.
[4] SUDDERTH, W. D. (1971). On measurable gambling problems. Ann. Math. Statist. 42 260-269.
[5] SUDDERTH, W. D. (1971). A gambling theorem and optimal stopping theory. Ann. Math.
Statist. 42 1697-1705.
[6] SUDDERTH, W. D. (1970). On the Dubins and Savage characterization of optimal strategies.
Univ. of Minnesota, Dept. of Statistics Tech. Report No. 138.
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