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Waiting time for a win with shrinking odds

Question

In game number n=1,2,3,…n=1,2,3,\dots a winning number is drawn uniformly from {1,2,…,n+2}\{1,2,\dots,n+2\}, and the player wins that game with probability 1n+2\tfrac{1}{n+2} (one of the n+2n+2 values is his), independently across games. Let WW be the number of games played up to and including the first win. Find E[W]E[W], or answer −1-1 if it is infinite.

Short answer

−1-1 (the expectation is infinite). The chance of losing the first k−1k-1 games telescopes: 23⋅34⋯kk+1=2k+1\tfrac23\cdot\tfrac34\cdots\tfrac{k}{k+1}=\tfrac{2}{k+1}. Then E[W]=∑k≥1P(W≥k)=∑k2k+1E[W]=\sum_{k\ge1}P(W\ge k)=\sum_k\tfrac{2}{k+1} diverges like the harmonic series, even though WW is finite with probability 11.

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

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