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JOURNALS // Matematicheskie Zametki // Archive

Mat. Zametki, 2007 Volume 81, Issue 6, Pages 879–892 (Mi mzm3738)

This article is cited in 3 papers

On a Problem in Probability Theory

V. P. Maslova, V. E. Nazaikinskiib

a M. V. Lomonosov Moscow State University, Faculty of Physics
b A. Ishlinsky Institite for Problems in Mechanics, Russian Academy of Sciences

Abstract: For continuous random variables, we study a problem similar to that considered earlier by one of the authors for discrete random variables. Let numbers
$$ N>0,\qquad E>0,\qquad 0\le\lambda_1\le\lambda_2\le\dotsb\le\lambda_s $$
be given. Consider a random vector $x=(x_1,\dots,x_s)$, uniformly distributed on the set
$$ x_j\ge0,\quad j=1,\dots,s;\qquad \sum_{j=1}^sx_j=N,\quad \sum_{j=1}^s\lambda_jx_j\le E. $$
We study the weak limit of $x$ as $s\to\infty$.

Keywords: dependent random variable, uniform distribution, weak limit, Heaviside function, risk-free investment, budget and priority constraints.

UDC: 519

Received: 10.04.2007

DOI: 10.4213/mzm3738


 English version:
Mathematical Notes, 2007, 81:6, 788–799

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