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Final minimum of a decreasing run of uniforms

Question

Draw i.i.d. Unif(0,1)\text{Unif}(0,1) values X1,X2,…X_1,X_2,\dots one after another, and let NN be the first index at which XNX_N is not the smallest value seen so far. Thus X1>X2>⋯>XN−1X_1>X_2>\dots>X_{N-1} and XN−1X_{N-1} is the minimum of the first NN draws. The expectation E[XN−1]\mathbb{E}[X_{N-1}] equals a+bea+be for integers a,ba,b, where ee is Euler's number. Find a+ba+b.

Short answer

22 (since E[XN−1]=3−e\mathbb{E}[X_{N-1}]=3-e). Let f(x)f(x) be the expected final minimum when the current minimum is xx. Conditioning on the next draw (above xx stops, below xx continues from a uniform point) and differentiating yields f′(x)=f(x)+1−2xf'(x)=f(x)+1-2x with f(0)=0f(0)=0, whose solution is f(x)=2x+1−exf(x)=2x+1-e^x; then f(1)=3−ef(1)=3-e.

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