Expected uniform draws until the sum passes 2
Question
Draw independent variables one after another and stop at the first for which ; call that stopping index .
The expectation can be written as with integers and , where is the base of the natural logarithm. Find .
Short answer
. Let be the expected number of draws to exceed ; it is known that for . Conditioning on the first draw gives , so on we get with . Solving yields , so , .
Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.
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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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