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Expected uniform draws until the sum passes 2

Question

Draw independent Unif(0,1)\text{Unif}(0,1) variables X1,X2,…X_1, X_2, \dots one after another and stop at the first nn for which X1+⋯+Xn>2X_1+\dots+X_n>2; call that stopping index NN.

The expectation E[N]\mathbb{E}[N] can be written as ae2+beae^2+be with integers aa and bb, where ee is the base of the natural logarithm. Find a+ba+b.

Short answer

00. Let f(x)f(x) be the expected number of draws to exceed xx; it is known that f(x)=exf(x)=e^x for 0≤x≤10\le x\le1. Conditioning on the first draw gives f(x)=1+∫01f(x−t) dtf(x)=1+\int_0^1 f(x-t)\,dt, so on (1,2)(1,2) we get f′(x)=f(x)−ex−1f'(x)=f(x)-e^{x-1} with f(1)=ef(1)=e. Solving yields f(2)=e2−ef(2)=e^2-e, so a=1a=1, b=−1b=-1.

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