Draws to beat a hidden uniform

Let UUniform(0,1)U \sim \text{Uniform}(0,1), and independently let X1,X2,Uniform(0,1)X_1, X_2, \dots \sim \text{Uniform}(0,1) be i.i.d. Define N=min{n:Xn>U}N = \min\{\,n : X_n > U\,\}, the first index whose draw exceeds UU. Compute E[N]\mathbb{E}[N] (enter 1-1 if it is infinite).

Show hints (2)+
  1. Given U=uU=u, NN is Geometric(1u)(1-u) with mean 1/(1u)1/(1-u).
  2. Average: 0111udu\int_0^1 \frac{1}{1-u}\,du - does it converge?

Answer

Reveal answer →

-1

Want the full step-by-step worked solution? It's part of Premium - along with a worked solution for every question in the bank.

Asked at: Jane Street, Two Sigma

Related questions