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Uniforms needed to exceed the log of two

Question

Let U1,U2,…U_1,U_2,\dots be i.i.d. uniform on (0,1)(0,1), and let NN be the first index nn at which U1+⋯+UnU_1+\dots+U_n exceeds ln⁡2\ln 2. Find E[N]E[N].

Short answer

22. For a threshold x∈(0,1)x\in(0,1), P(N>n)=P(U1+⋯+Un≤x)=xnn!P(N>n)=P(U_1+\dots+U_n\le x)=\tfrac{x^n}{n!}, so E[N]=∑n≥0xnn!=exE[N]=\sum_{n\ge0}\tfrac{x^n}{n!}=e^{x}. At x=ln⁡2x=\ln2 this is 22.

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