The decreasing run of uniforms
Draw independently from . Let be the first index at which is not the smallest of (i.e. the first time a draw fails to set a new minimum). Then , and is the smallest value seen before the run breaks. The value can be written as for integers (with Euler's number). Find .
Show hints (2)+
- Condition on the run length : the first draws are decreasing (density factor given ) and the th exceeds (factor ).
- You'll reach ; evaluate the two pieces as and .
Answer
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Asked at: Jane Street, Two Sigma