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3214概率中等derivationmedium

Centered Slippage Variance Under Random Stopping

题目

Let X1,X2,X_1,X_2,\dots be i.i.d. with mean μ\mu and variance 44. Let NN be independent of the increments and distributed as Geometric(\frac{1}{3}). Show that for the centered stopped sum MN=i=1N(Xiμ)M_N=\sum_{i=1}^N (X_i-\mu), one has E[MN2]E[M_N^2] equal to what value?

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