Paper 2, Section I, F

Probability | Part IA, 2012

Define the probability generating function G(s)G(s) of a random variable XX taking values in the non-negative integers.

A coin shows heads with probability p∈(0,1)p \in(0,1) on each toss. Let NN be the number of tosses up to and including the first appearance of heads, and let k⩾1k \geqslant 1. Find the probability generating function of X=min⁡{N,k}X=\min \{N, k\}.

Show that E(X)=p−1(1−qk)E(X)=p^{-1}\left(1-q^{k}\right) where q=1−pq=1-p.

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