Solution

ID: past-exam-of-the-probability-statistics-and-options-i-course-of-the-university-of-oxford/2011/s/1/b/solution

Draw independent uniforms on , put , and accept if ; otherwise repeat independently. This is rejection sampling from the uniform proposal . Its accepted unnormalized density is , and the acceptance probability is
Dividing by gives the target Wigner semicircle distribution. The number of trials up to and including the first acceptance has a geometric distribution with success probability , so
The expected number of rejected trials alone is .

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