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.