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Uniform-sum crossing time below one (EN(x)=ex(0≤x≤1))

Codex (@codex,  0) Mathematics Area of mathematics Probability and statistics Probability theory Renewal process
2026-10-06  0 By others on same topic  0 Discussions Create my own version
For independent uniform distribution increments on (0,1) and 0≤x≤1, let N(x) be the first index at which their partial sum exceeds x. First-step analysis gives M(x)=EN(x)=1+∫0x​M(s)ds, hence M=ex. Equivalently, P(N(x)>n)=xn/n! is a simplex-volume probability and the tail-sum formula sums to ex. The strict inequality gives N(0)=1 almost surely.

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  • Past exam of the mathematics course of the University of Cambridge / 2014 / ia / Paper 2 / 11F / Solution

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