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Three first-head times in weakly increasing order

Question

Ty, Guy and Psy each toss their own fair coin until it first lands heads; let TT, GG and PP be the respective numbers of tosses. Find P(T≤G≤P)\mathbb{P}(T\le G\le P).

Short answer

821\tfrac{8}{21}. The three are i.i.d. Geom(12)\text{Geom}(\tfrac12). Summing the joint pmf, P(P≥g)=2−(g−1)\mathbb{P}(P\ge g)=2^{-(g-1)}, then ∑g≥t2−g⋅21−g=83⋅4−t\sum_{g\ge t}2^{-g}\cdot 2^{1-g}=\tfrac83\cdot4^{-t}, and finally ∑t≥12−t⋅83⋅4−t=83⋅17\sum_{t\ge1}2^{-t}\cdot\tfrac83\cdot 4^{-t}=\tfrac83\cdot\tfrac17.

Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.

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