On the expectations of maxima of sets of independent random variables

Daniel V. Tokarev and Konstantin A. Borovkov

Statistics & Probability Letters, 2009, vol. 79, issue 23, 2381-2388

Abstract: Let X1,...,Xk and Y1,...,Ym be jointly independent copies of random variables X and Y, respectively. For a fixed total number n of random variables, we aim at maximising in k=n-m>=0, which corresponds to maximising the expected lifetime of an n-component parallel system whose components can be chosen from two different types. We show that the lattice {M(k,m):k,m>=0} is concave, give sufficient conditions on X and Y for M(n,0) to be always or ultimately maximal and derive a bound on the number of sign changes in the sequence M(n,0)-M(0,n), n>=1. The results are applied to a mixed population of Bienayme-Galton-Watson processes, with the objective to derive the optimal initial composition to maximise the expected time to extinction.

Date: 2009
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