Waiting time for a win with shrinking odds
Question
In game number a winning number is drawn uniformly from , and the player wins that game with probability (one of the values is his), independently across games. Let be the number of games played up to and including the first win. Find , or answer if it is infinite.
Short answer
(the expectation is infinite). The chance of losing the first games telescopes: . Then diverges like the harmonic series, even though is finite with probability .
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Open the worked solutionLessons behind this question
- Expectation, Mean, and Variance
- Conditional Expectation and Variance Revisited
- Continuous Random Variables and Probability Density Functions
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