On exponential convergence of random variables
Volume 51 / 2024
Applicationes Mathematicae 51 (2024), 1-11
MSC: Primary 60G07
DOI: 10.4064/am2540-7-2024
Published online: 29 July 2024
Abstract
Given a discrete-time sequence of nonnegative random variables, general dependencies between the exponential convergence of the expectations, the exponential convergence of the trajectories and the logarithmic growth of the corresponding expected hitting times are analysed. The general results are applied to problems of optimization, stochastic control and estimation.
