par Bruss, F Thomas 
;Rogers, Chris L C G
Référence Stochastic processes and their applications, 37, 2, page (331-338)
Publication Publié, 1991-04
;Rogers, Chris L C GRéférence Stochastic processes and their applications, 37, 2, page (331-338)
Publication Publié, 1991-04
Article révisé par les pairs
| Résumé : | Let (Πt) be a counting process on R+ with the property that for any t, T with 0≤t≤T the distribution of ΠT given the past Ft is Pascal (negative binomial) with one parameter being Πt+1 and the probability parameter depending only on t and T. Does such a process exist? If so, how is it characterized? Finally, what is the most convenient way to model such a process? These questions are motivated by the distinguished role of the Pascal distribution in finding explicit solutions of optimal selection problems based on relative ranks. We answer them completely. © 1991. |
