Let X and Y have respective hazard rate functions Ax(t) Ay(t) for all t Define a random

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Let X and Y have respective hazard rate functions Ax(t) Ay(t) for all t Define a random variable X as follows: If Y=t, then x={'_ with probability Ax(t)/Ay(t) + X, with probability 1 - Ax(t)/Ay(t), where X, is a random variable, independent of all else, with distribution P{X,>s}= P{X>+s} P{X>1} Show that has the same distribution as X

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Stochastic Processes

ISBN: 9780471120629

2nd Edition

Authors: Sheldon M. Ross

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