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Three geometric waits in strict increasing order

Question

Three players each toss their own fair coin until they get their first head. Let TT, GG and PP be the number of tosses the first, second and third player need, respectively. Compute P[T<G<P]\mathbb{P}[T<G<P].

Short answer

1/211/21. With T,G,PT,G,P i.i.d. Geom(1/2)\text{Geom}(1/2), sum the joint pmf over t<g<pt<g<p: the innermost sum gives 2−g2^{-g}, then summing 4−g4^{-g} over g>tg>t and finally over tt yields 121\tfrac{1}{21}. (Equivalently, all three distinct has probability 621\tfrac{6}{21} and each of the 66 orders is equally likely.)

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