Expected overshoot sum when uniforms first pass one
Question
Let be independent variables, set , and let be the first index at which the running total exceeds . The value has the form with rational. Determine .
Short answer
. A classic result is that on average uniforms are needed to pass , i.e. . Because is a stopping time, Wald's identity says the expected stopped sum equals that mean count times the mean of one uniform, .
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Open the worked solutionLessons behind this question
- Expectation, Mean, and Variance
- Conditional Expectation and Variance Revisited
- Sample Spaces, Events, and the Probability Axioms
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