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G-97-34

Asymptotics of the Moments of Cumulative Vector Renewal Reward Processes: The Case N(t) + 1

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In this paper, we study the moments of cumulative processes. More specifically, we will evaluate explicitly the expectation of a product of n distinct cumulative processes , thus generalizing asymptotically Wals's fundamental equation in the discrete time. The theory developed for such an evaluation is based on the concept of conditional exchangeability of random variables, the theory of martingales, the theory of combinatorics and the asymptotic analysis of factorial moments.

, 37 pages

This cahier was revised in July 1997