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2844概率困难derivationmedium

A Geometric Number of Exponential Stages

题目

A task takes a geometric number of stages: NN has support {1,2,}\{1,2,\dots\} with P(N=n)=p(1p)n1P(N=n)=p(1-p)^{n-1}. Each stage duration is i.i.d. Exponential(β)\mathrm{Exponential}(\beta), independent of NN. Let T=i=1NXiT=\sum_{i=1}^N X_i. Use MGFs to identify the law of TT.

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