Consider a miner trapped in a room that contains three doors. Door 1 leads her to freedom

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Consider a miner trapped in a room that contains three doors. Door 1 leads her to freedom after two-days' travel; door 2 returns her to her room after four-days' journey, and door 3 returns her to her room after eight-days' journey. Suppose at all times she is equally to choose any of the three doors, and let T denote the time it takes the miner to become free.

(a) Define a sequence of independent and identically distributed ran- dom variables X1, X2,... and a stopping time N such that = .. Note You may have to imagine that the miner continues to ran- domly choose doors even after she reaches safety.

(b) Use Wald's equation to find E[T].

(c) Compute EX, N = n] and note that it is not equal to [ 1 ].

(d) Use part

(c) for a second derivation of E[T]

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Stochastic Processes

ISBN: 9780471120629

2nd Edition

Authors: Sheldon M. Ross

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