3191概率中等derivationmedium
Total PnL Until a Geometric Number of Fills
题目
Let be i.i.d. increments with and . Let be independent of the increments and distributed as Geometric(\frac{1}{4}) on {1,2,\dots}. For the stopped sum , compute and .
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你的答案
E[S_N]
Var(S_N)