Draws to pass a log threshold

Draw X1,X2,…X_1, X_2, \dots independently from Uniform(0,1)\text{Uniform}(0,1) and let N=min⁡{ n:X1+⋯+Xn>ln⁡2 }N = \min\{\,n : X_1 + \dots + X_n > \ln 2\,\} be the number of draws needed for the running sum to first exceed ln⁡2\ln 2. Find E[N]\mathbb{E}[N].

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  1. Use E[N]=∑n≥0P(N>n)\mathbb{E}[N]=\sum_{n\ge0}\mathbb{P}(N>n), and N>nN>n means the first nn draws sum to ≤ln⁡2\le \ln 2.
  2. That simplex probability is xn/n!x^n/n! with x=ln⁡2x=\ln 2. Summing gives exe^{x}.

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