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A convergence property of Dubins' representation of distributions
Published online by Cambridge University Press: 17 April 2009
Abstract
Let (Xn)n≥1 be a sequence of random variables with zero means and uniformly bounded variences. Let τn be the stopping time defined on a given Brownian motion (Bt)t≥0, B0 = 0, by Dubins' method such that B(τn) has the same distribution as Xn. We prove that Xn converging to 0 in distribution implies that τn converges to 0 in probability. Examples are presented to illustrate the result is the best possible.
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- Copyright © Australian Mathematical Society 1988