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On a conjecture for the non-existence of the expectation of randomly stopped sums
Published online by Cambridge University Press: 14 July 2016
Abstract
In a recent paper on the validity of Wald's equation, Roters (1994) raised an important question on the non-existence of the expectation of randomly stopped sums. The purpose of this note is to answer the question in the affirmative. As a consequence, an old question by Taylor (1972) also gets a positive answer.
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- Copyright © Applied Probability Trust 1995