作者：KESTEN, H; LAWLER, GF
作者单位：Duke University
摘要：Let X1, X2, ... be independent random variables such that X(j) has distribution F(sigma(j)), where sigma(j) = 1 or 2, and the distributions F(i) have mean 0. Assume that F(i) has a finite q(i)th moment for some 1 < q(i) < 2. Let S(n) = SIGMA-j=1(n)X(j). We show that if q1 + q2 > 3, then lim sup P{S(n) > 0} > 0 and lim sup P{S(n) < 0} > 0 for each sequence {sigma(j)} of ones and twos.
作者：NUALART, D
摘要：We prove that in continuous time, the extremal elements of the set of adapted random measures on R+2 are Dirac measures, assuming the underlying filtration satisfies the conditional qualitative independence property. This result is deduced from a theorem in discrete time which provides a correspondence between adapted random measures on N2 and two-parameter randomized stopping points in the sense of Baxter and Chacon. As an application we show the existence of optimal stopping points for upper...
