We have the following, E e−δτn 1 {τ≥τ n} ≤E e−δτn =E " e −δ nP i=1 (τi−τi−1) # = E e−δτ1 n = δ δ+λ n , 36 which yields:lim n→∞ E e−δτn 1 {τ≥τ n} = 0
· 1992
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