probability

consider a sequence of independent tosses of a biased coin at times k=0,1,2,…,n. On each toss, the probability of Heads is p, and the probability of Tails is 1−p.

A reward of one unit is given at time k, for k∈{1,2,…,n}, if the toss at time k resulted in Tails and the toss at time k−1 resulted in Heads. Otherwise, no reward is given at time k.

Let R be the sum of the rewards collected at times 1,2,…,n.

We will find E[R] and var(R) by carrying out a sequence of steps. Express your answers below in terms of p and/or n using standard notation. Remember to write '*' for all multiplications and to include parentheses where necessary.

We first work towards finding E[R].

1. Let Ik denote the reward (possibly 0) given at time k, for k∈{1,2,…,n}. Find E[Ik].

E[Ik]=
2. Using the answer to part 1, find E[R].

E[R]=
The variance calculation is more involved because the random variables I1,I2,…,In are not independent. We begin by computing the following values.

3. If k∈{1,2,…,n}, then

E[I2k]=
4. If k∈{1,2,…,n−1}, then

E[IkIk+1]=
5. If k≥1, ℓ≥2, and k+ℓ≤n, then

E[IkIk+ℓ]=
6. Using the results above, calculate the numerical value of var(R) assuming that p=3/4, n=10.

var(R)=

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  1. 1. p*(1-p)

    2. n*p*(1-p)

    3. p*(1-p)

    4. 0

    5. p^2*(1-p)^2

    6. 57/64

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  2. Oh sorry, misunderstood.

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