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Expected overshoot sum when uniforms first pass one

Question

Let X1,X2,…X_1,X_2,\dots be independent Unif(0,1)\text{Unif}(0,1) variables, set Sn=X1+⋯+XnS_n=X_1+\cdots+X_n, and let N1=min⁡{n:Sn>1}N_1=\min\{n: S_n>1\} be the first index at which the running total exceeds 11. The value E[SN1]\mathbb{E}[S_{N_1}] has the form cece with cc rational. Determine cc.

Short answer

c=12c=\tfrac12. A classic result is that on average ee uniforms are needed to pass 11, i.e. E[N1]=e\mathbb{E}[N_1]=e. Because N1N_1 is a stopping time, Wald's identity says the expected stopped sum equals that mean count times the mean of one uniform, e⋅12e\cdot\tfrac12.

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