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429概率中等derivationmedium

Geometric Number of Geometric Trials

题目

A gambler plays a sequence of rounds. In each round, he flips a biased coin with P(heads)=pP(\text{heads}) = p repeatedly until he gets heads; the number of flips in that round is Geom(p)\operatorname{Geom}(p). The number of rounds he plays is itself Geom(q)\operatorname{Geom}(q) (independent of the coin flips), where 0<q<10 < q < 1. Let SS be the total number of coin flips across all rounds. Using the memoryless property of the geometric distribution, show that SGeom(pq)S \sim \operatorname{Geom}(pq) and compute E[S]E[S].

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