The Annals of Mathematical Statistics

Some Conditions Under Which Two Random Variables are Equal Almost Surely and a Simple Proof of a Theorem of Chung and Fuchs

David Gilat

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Abstract

Let $(X, Y)$ be an ordered pair of real-valued random variables. Say that $(X, Y)$ is fair if $E(Y \mid X) = X$ a.s. It is shown, for example, that if $X$ has a finite mean and the pair $(X, Y)$ is fair, then $X$ and $Y$ cannot be stochastically ordered unless $X = Y$ a.s. The conclusion is in general false, if $X$ does not have a mean. On the other hand, if $X$ is independent of the increment $Y - X$, the preceding statement remains in force without any moment restrictions on $X$. The last assertion, combined with a gambling idea of Dubins and Savage, yields a simple proof of a theorem of Chung and Fuchs on the upper limit of a random walk with mean zero.

Article information

Source
Ann. Math. Statist., Volume 42, Number 5 (1971), 1647-1655.

Dates
First available in Project Euclid: 27 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoms/1177693163

Digital Object Identifier
doi:10.1214/aoms/1177693163

Mathematical Reviews number (MathSciNet)
MR346898

Zentralblatt MATH identifier
0239.60004

JSTOR
links.jstor.org

Citation

Gilat, David. Some Conditions Under Which Two Random Variables are Equal Almost Surely and a Simple Proof of a Theorem of Chung and Fuchs. Ann. Math. Statist. 42 (1971), no. 5, 1647--1655. doi:10.1214/aoms/1177693163. https://projecteuclid.org/euclid.aoms/1177693163


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