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Weighted sum of uniforms until the first rise

Question

Let X1,X2,…X_1,X_2,\dots be i.i.d. Unif(0,1)\text{Unif}(0,1). Define NN as the smallest kk such that Xk<Xk+1X_k<X_{k+1} (take N=∞N=\infty if this never happens), and set S=∑i=1NXi2i.S=\sum_{i=1}^{N}\frac{X_i}{2^i}. The value of E[S]E[S] can be written as aeb+cae^{b}+c with integers a,ca,c and bb a reduced rational. Compute a2+c2+4ba^2+c^2+4b.

Short answer

1515. Write S=∑i2−iXi1{N≥i}S=\sum_i 2^{-i}X_i\mathbf 1\{N\ge i\}; N≥iN\ge i means X1≥⋯≥XiX_1\ge\dots\ge X_i. Conditioning on Xi=xX_i=x, the others are above xx in decreasing order with probability (1−x)i−1(i−1)!\tfrac{(1-x)^{i-1}}{(i-1)!}, giving E[Xi1{N≥i}]=1(i+1)!E[X_i\mathbf 1\{N\ge i\}]=\tfrac{1}{(i+1)!}. Summing 2−i(i+1)!\tfrac{2^{-i}}{(i+1)!} over i≥1i\ge1 gives 2e−32\sqrt e-3, so 4+9+2=154+9+2=15.

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