Skip to content

Variance of the limit of randomly halved intervals

Question

Start from [0,1][0,1]. Repeatedly replace the current interval by a random sub-interval of half its length whose left end is uniform over the allowed positions; for example the first step chooses [x,x+0.5][x,x+0.5] with x∼U(0,0.5)x\sim U(0,0.5). The nested intervals shrink to a single point. What is that point's variance?

Short answer

1/361/36. The limit point is the sum of independent left-end shifts Uk∼U(0,2−k)U_k\sim U(0,2^{-k}), k≥1k\ge1. So its variance is ∑k≥14−k12=112⋅13=136\sum_{k\ge1}\tfrac{4^{-k}}{12}=\tfrac{1}{12}\cdot\tfrac13=\tfrac1{36}.

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

See the hint and the full worked solution in the question bank (free account).

Open the worked solution

Lessons behind this question

Start with a free lesson: Expectation, Variance and Covariance is part of a free topic. Create a free account, no card needed, to read it in full with worked solutions.

Read it free