Weighted sum of uniforms until the first rise
Question
Let be i.i.d. . Define as the smallest such that (take if this never happens), and set The value of can be written as with integers and a reduced rational. Compute .
Short answer
. Write ; means . Conditioning on , the others are above in decreasing order with probability , giving . Summing over gives , so .
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Open the worked solutionLessons behind this question
- Expectation, Mean, and Variance
- Conditional Expectation and Variance Revisited
- Sample Spaces, Events, and the Probability Axioms
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