Thread: Comparison of stochastic processes at a random time 2

Let and , , be two discrete-time Markov chains such that , for all . Let be a non-negative random variable in (T may depend on X and Y).

Is it true that ?

Thanks

Good morning. Please can you help me to solve this exercise?. I must to use limiting distribution and change of variable. Thank you my friend.
Let Yn denote the nth order statistic, with Yn=qXn:n – ln(n), of a random sample X1,X2,…………..Xn from a exponential distribution Xi~exp(q). Find the limiting distribution of Yn.

I think that still conditioning over T it should be ok, right?

yes i would think so.