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First uniform draw that is not a running maximum

Question

Let X1,X2,…X_1,X_2,\dots be i.i.d. uniform on (0,1)(0,1), and let NN be the smallest nn for which XnX_n is not the largest of X1,…,XnX_1,\dots,X_n. Then E[N]=a+be\mathbb{E}[N]=a+be with integers a,ba,b, where ee is Euler's number. Find a+ba+b.

Short answer

11. N>nN>n means X1<⋯<XnX_1<\dots<X_n, which has probability 1n!\tfrac1{n!} (and is certain for n=0,1n=0,1). By the tail-sum formula E[N]=∑n≥01n!=e\mathbb{E}[N]=\sum_{n\ge0}\tfrac1{n!}=e, so a=0a=0, b=1b=1.

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