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You are on page 1of 6

Edward Omey

HUB - Stormstraat 2

1000 Brussels - Belgium

edward.omey@hubrussel.be

1 Introduction

Let X; X(1); X(2); ::: denote independent random variables with the same dis-

tribution given by P(X = 1) = p and P(X = 2) = q = 1 p where 0 < p < 1.

For x 1 we consider the following counting process:

N(x) = minfn :

n

i=1

X(i) > xg ,

and let H(x) = E(N(x)). In this paper, among others we determine H(x)

together with some of its properties. For x < 1, we trivially have N(x) = 1.

2 The process N(x)

It is clear that the products X(1)X(2):::X(n) can take values only in the set

f1; 2; 4; 8; :::g =

¸

2

k

; k 0

**. This implies that for 1 x < 2 we have N(x) =
**

N(1) and that for 2

m

x < 2

m+1

we have N(x) = N(2

m

).

Now consider x = 1 and N(1). It is clear that the product crosses the value 1

for the …rst time if we have a sequence of outcomes 1 followed by a last outcome

2. It follows that

P(N(1) = k) = qp

k1

, k 1.

Next consider x = 2

m

and N(2

m

). It is clear that the product crosses the

value 2

m

for the …rst time at experiment k if we have k 1 experiments with

exactly m1 times the outcome 2 and the remaining outcomes equal to 1. The

k-th outcome has to be 2. It follows that

P(N(2

m

) = k) =

k 1

m1

q

m

p

km

, k m.

Clearly N(2

m

) has a negative binomial distribution NEGBIN(m+ 1; q).

Using elementary properties of the negative binomial distribution, we obtain

the following result. Let H(x) = E(N(x)) and V (x) = V ar(N(x)).

Proposition 1 For k 0, we have

H(2

m

) =

m+ 1

q

,

V (2

m

) =

(m+ 1)p

q

2

.

1

In terms of x, we can …nd the …rst value of m such that 2

m

x < 2

m+1

and

we …nd that

H(x) =

1

q

(

¸

log(x)

log(2)

¸

+ 1), (1)

V (x) =

p

q

H(x).

From the properties of the negative binomial distribution, we also have the

following central limit theorem for N(x).

Proposition 2 As x !1, we have

N(x) log(x)=(q log(2))

p log(x)=q

2

d

=)Z,

where

d

=) denotes convergence in distribution and Z has a standard normal

distribution.

3 Some properties of the function H(x)

Using formula (1), it is easy to see that

H(2x) =

1

q

(

¸

log(2x)

log(2)

¸

+ 1) =

1

q

+H(x).

From (1) it also follows that as x !1,

H(x) s

log(x)

q log(2)

. (2)

If we consider the di¤erence D(x) given by

D(x) = H(x)

log(x)

q log(2)

,

we get that 0 D(x) 1=q.

Remark 1. That we have result (2) is not a surprise. In renewal theory on

considers counting processes of the form

N(x) = minfn : Y (1) +Y (2) +::: +Y (n) > xg ,

where the Y (i) are i.i.d. nonnegative random variables. The renewal function

is de…ned as H(x) = E(N(x)).

In renewal theory, the elementary renewal theorem states that as x !1,

1

x

H(x) !

1

,

2

where = E(Y ). In our problem we have

N(x) = minfn :

n

i=1

X(i) > xg

= min

n :

n

¸

i=1

log(X(i)) > log(x)

¸

.

Clearly we have E(log(X)) = q log(2).

Remark 2. If we consider the di¤erence

D

(x) = H(x)

1

q

¸

log(x)

log(2)

¸

,

we trivially have that D

(x) = 1=q.

4 Generating functions

4.1 The Mellin transform

The Mellin transform of a measurable function f : (0; 1) ! (1; +1) is

de…ned as

´

f(z) =

1

0

f(x)x

z1

dx,

for z such that the integral converges.

For z > 0, we have

´

H(z) =

1

1

H(x)x

z1

dx

=

1

¸

m=0

[2

m

;2

m+1

)

H(x)x

z1

dx

=

1

¸

m=0

m+ 1

q

[2

m

;2

m+1

)

x

z1

dx

=

1

¸

m=0

m+ 1

q

1

z

(2

(m+1)(z)

2

m(z)

)

=

1 2

z

qz

1

¸

m=0

(m+ 1)2

zm

=

1 2

z

qz

1

(1 2

z

)

2

=

1

qz(1 2

z

)

We conclude that

´

H(z) =

1

qz(1 2

z

)

, z > 0.

3

Note that for z !0, we have 1 2

z

= 1 e

z log(2)

s z log(2), so that

´

H(z) s

1

q log(2)

1

z

2

.

Note that for z > 0, we have

1

1

log(x)x

z1

dx =

1

z

1

1

x

z1

dx =

1

z

2

.

This con…rms the asymptotic formula

H(x) s

log(x)

q log(2)

.

Remark 3. We look at the di¤erence

D(x) = H(x)

log(x)

q log(2)

.

For the Mellin transform we …nd

´

D(z) =

1

qz(1 2

z

)

1

z

2

1

q log(2)

=

1

qz log(2)

z log(2) 1 + 2

z

(1 2

z

)

s

1

qz log(2)

z

2

(log(2))

2

2 log(2)z

=

1

qz

.

Also, we have

1

1

1

q

x

z1

dx =

1

qz

.

This example shows that the Tauberian implication

´

D(z) s 1=(qz) implies that

D(x) s 1=q is false.

4.2 A generating function

If we consider the sequence a(n) = n, n 0, we get that

¯a(z) =

1

¸

n=0

z

a(n)

=

1

1 z

.

For the sequence H(n) and for suitable values of z, we …nd that

¯

H(z) =

1

¸

k=1

z

H(k)

=

1

¸

m=0

2

m+1

1

¸

k=2

m

z

H(k)

=

1

¸

m=0

z

(m+1)=q

(2

m+1

2

m

)

= z

1=q

1

1 (2z)

1=q

.

4

4.3 The generating function

It seems to be di¢cult to …nd a nice expression for the usual generating function

H(z) =

¸

1

n=1

H(n)z

n

. To obtain an expression, we consider the following

sequence:

H(1)

H(2) H(1)

:::

H(n) H(n 1)

:::

Clearly we have H(1) = 1=q. For n 2 we have H(n) H(n 1) = 1=q for

all n of the form n = 2

k

and we have H(n) H(n1) = 0 in all other cases. It

follows that

H(1)z +

1

¸

n=2

(H(n) H(n 1)z

n

=

1

q

1

¸

m=0

z

2

m

.

Rearranging the terms, we …nd that

H(z) =

1

q(1 z)

1

¸

m=0

z

2

m

.

Clearly H(z) satis…es the following relation:

H(z) =

z

q(1 z)

+ (1 +z)H(z

2

).

Using F(z) = (1 z)H(z), we get that F(z) = z=q +F(z

2

).

5 Example

Let us take p = q = 1=2. In this case we obtain that for m = 0; 1; 2; ::: and

2

m

x < 2

m+1

, we have

H(x) = H(2

m

) = 2(m+ 1):

The sequence H(n) looks as follows:

2; 4; 4; 6; 6; 6; 6; 8; 8; 8; 8; 8; 8; 8; 8; 10; 10; :::10; :::

1 times 2

2 times 4

4 times 6

8 times 8

16 times 10

2

m

times 2(m+ 1).

5

6 Extensions

It is clear that we can do a similar analysis starting from a random variable

with pdf

P(X = 1) = p, P(X = c) = q = 1 p,

where 0 < p < 1, and c 2 is an integer. For any x 1, we can …nd the value

of m such that c

m

x < c

m+1

and we have that

H(x) =

1

q

(

¸

log(x)

log(c)

¸

+ 1),

H(c

m

) =

m+ 1

q

.

7 Bibliography

1. W. Feller, An Introduction to Probability Theory and Its Applications.

Vol. I, Vol II, Wiley, New York, 1966.

2. S.M. Ross, Applied Probability Models with Optimization Applications.

Holden-Day, San Francisco, 1970.

3. Weisstein, Eric W. "Mellin Transform." From MathWorld–A Wolfram

Web Resource. http://mathworld.wolfram.com/MellinTransform.html

6

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