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5983概率中等derivationmedium

Number of Trades to Cross a Profit Target

题目

A strategy books i.i.d. positive profits X1,X2,X_1,X_2,\dots with E[Xi]=2.5E[X_i]=2.5. Let NN be the first time the running total Sn=i=1nXiS_n=\sum_{i=1}^n X_i strictly exceeds 1010; that is, N=min{n:Sn>10}N=\min\{n:S_n>10\}. Assuming E[N]<E[N]<\infty, the expected overshoot is known to satisfy E[SN]=14E[S_N]=14. Use a Wald-style identity to compute E[N]E[N].

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