{
  "index": "2020-B-3",
  "type": "ANA",
  "tag": [
    "ANA",
    "COMB",
    "NT"
  ],
  "difficulty": "",
  "question": "Let $x_0 = 1$, and let $\\delta$ be some constant satisfying $0 < \\delta < 1$. Iteratively, for $n=0,1,2,\\dots$, a point $x_{n+1}$ is chosen uniformly from the interval $[0, x_n]$. Let $Z$ be the smallest value of $n$ for which $x_n < \\delta$.\nFind the expected value of $Z$, as a function of $\\delta$.",
  "solution": "Let $f(\\delta)$ denote the desired expected value of $Z$ as a function of $\\delta$.\nWe prove that $f(\\delta) = 1-\\log(\\delta)$, where $\\log$ denotes natural logarithm.\n\nFor $c \\in [0,1]$, let $g(\\delta,c)$ denote the expected value of $Z$ given that $x_1=c$, and note that $f(\\delta) = \\int_0^1 g(\\delta,c)\\,dc$. Clearly $g(\\delta,c) = 1$ if $c<\\delta$. On the other hand, if $c\\geq\\delta$, then $g(\\delta,c)$ is $1$ more than the expected value of $Z$ would be if we used the initial condition $x_0=c$ rather than $x_0=1$. By rescaling the interval $[0,c]$ linearly to $[0,1]$ and noting that this sends $\\delta$ to $\\delta/c$, we see that this latter expected value is equal to $f(\\delta/c)$. That is, for $c\\geq\\delta$, $g(\\delta,c) = 1+f(\\delta/c)$. It follows that we have\n\\begin{align*}\nf(\\delta) &= \\int_0^1 g(\\delta,c)\\,dc  \\\\\n&= \\delta + \\int_\\delta^1 (1+f(\\delta/c))\\,dc = 1+\\int_\\delta^1 f(\\delta/c)\\,dc.\n\\end{align*}\nNow define $h :\\thinspace [1,\\infty) \\to \\mathbb{R}$ by $h(x) = f(1/x)$; then we have\n\\[\nh(x) = 1+\\int_{1/x}^1 h(cx)\\,dc = 1+\\frac{1}{x}\\int_1^x h(c)\\,dc.\n\\]\nRewriting this as $xh(x)-x = \\int_1^x h(c)\\,dc$ and differentiating with respect to $x$ gives\n$h(x)+xh'(x)-1 = h(x)$, whence $h'(x) = 1/x$ and so $h(x) = \\log(x)+C$ for some constant $C$. Since $h(1)=f(1)=1$, we conclude that $C=1$, $h(x) = 1+\\log(x)$, and finally\n$f(\\delta) = 1-\\log(\\delta)$. This gives the claimed answer.",
  "vars": [
    "c",
    "f",
    "g",
    "h",
    "n",
    "x",
    "x_0",
    "x_1",
    "x_n",
    "x_n+1",
    "Z"
  ],
  "params": [
    "\\\\delta",
    "C"
  ],
  "sci_consts": [],
  "variants": {
    "descriptive_long": {
      "map": {
        "c": "scalarc",
        "f": "expectf",
        "g": "helperg",
        "h": "helperh",
        "n": "indexn",
        "x": "valuex",
        "x_0": "startx",
        "x_1": "firstx",
        "x_n": "stepxn",
        "x_n+1": "nextxn",
        "Z": "stepsz",
        "\\\\delta": "deltaval",
        "C": "constc"
      },
      "question": "Let $startx = 1$, and let $deltaval$ be some constant satisfying $0 < deltaval < 1$. Iteratively, for $indexn=0,1,2,\\dots$, a point $nextxn$ is chosen uniformly from the interval $[0, stepxn]$. Let $stepsz$ be the smallest value of $indexn$ for which $stepxn < deltaval$. Find the expected value of $stepsz$, as a function of $deltaval$.",
      "solution": "Let $expectf(deltaval)$ denote the desired expected value of $stepsz$ as a function of $deltaval$. We prove that $expectf(deltaval) = 1-\\log(deltaval)$, where $\\log$ denotes natural logarithm.\n\nFor $scalarc \\in [0,1]$, let $helperg(deltaval, scalarc)$ denote the expected value of $stepsz$ given that $firstx = scalarc$, and note that\n\\[\nexpectf(deltaval) = \\int_0^1 helperg(deltaval, scalarc)\\,dscalarc.\n\\]\nClearly $helperg(deltaval, scalarc) = 1$ if $scalarc<deltaval$. On the other hand, if $scalarc\\geq deltaval$, then $helperg(deltaval, scalarc)$ is $1$ more than the expected value of $stepsz$ would be if we used the initial condition $startx = scalarc$ rather than $startx = 1$. By rescaling the interval $[0, scalarc]$ linearly to $[0,1]$ and noting that this sends $deltaval$ to $deltaval/scalarc$, we see that this latter expected value is equal to $expectf(deltaval/scalarc)$. That is, for $scalarc\\geq deltaval$,\n\\[\nhelperg(deltaval, scalarc) = 1+expectf\\bigl(deltaval/scalarc\\bigr).\n\\]\nIt follows that\n\\[\nexpectf(deltaval) = \\int_0^1 helperg(deltaval, scalarc)\\,dscalarc\n                  = deltaval + \\int_{deltaval}^1 \\bigl(1+expectf(deltaval/scalarc)\\bigr)\\,dscalarc\n                  = 1+\\int_{deltaval}^1 expectf(deltaval/scalarc)\\,dscalarc.\n\\]\nNow define $helperh : [1,\\infty) \\to \\mathbb{R}$ by $helperh(valuex) = expectf(1/valuex)$. Then\n\\[\nhelperh(valuex)\n   = 1 + \\int_{1/valuex}^1 helperh(scalarc\\,valuex)\\,dscalarc\n   = 1 + \\frac{1}{valuex} \\int_1^{valuex} helperh(scalarc)\\,dscalarc.\n\\]\nRewriting this as $valuex\\,helperh(valuex) - valuex = \\int_1^{valuex} helperh(scalarc)\\,dscalarc$ and differentiating with respect to $valuex$ gives\n\\[\nhelperh(valuex) + valuex\\,helperh'(valuex) - 1 = helperh(valuex),\n\\]\nwhence $helperh'(valuex) = 1/valuex$ and hence\n\\[\nhelperh(valuex) = \\log(valuex) + constc\n\\]\nfor some constant $constc$. Since $helperh(1) = expectf(1) = 1$, we conclude that $constc = 1$, so $helperh(valuex) = 1+\\log(valuex)$. Consequently\n\\[\nexpectf(deltaval) = 1-\\log(deltaval),\n\\]\nas claimed."
    },
    "descriptive_long_confusing": {
      "map": {
        "c": "riverstone",
        "f": "cloudburst",
        "g": "moonluster",
        "h": "starflower",
        "n": "driftwood",
        "x": "sandmirror",
        "x_0": "genesisseed",
        "x_1": "dawnsparkle",
        "x_n": "lanternbeam",
        "x_n+1": "lanternbloom",
        "Z": "albatross",
        "\\delta": "amberdust",
        "C": "shadowpeak"
      },
      "question": "Let $genesisseed = 1$, and let $amberdust$ be some constant satisfying $0 < amberdust < 1$. Iteratively, for $driftwood =0,1,2,\\dots$, a point $lanternbloom$ is chosen uniformly from the interval $[0, lanternbeam]$. Let $albatross$ be the smallest value of $driftwood$ for which $lanternbeam < amberdust$.\nFind the expected value of $albatross$, as a function of $amberdust$.",
      "solution": "Let $cloudburst(amberdust)$ denote the desired expected value of $albatross$ as a function of $amberdust$.\nWe prove that $cloudburst(amberdust) = 1-\\log(amberdust)$, where $\\log$ denotes natural logarithm.\n\nFor $riverstone \\in [0,1]$, let $moonluster(amberdust,riverstone)$ denote the expected value of $albatross$ given that $dawnsparkle = riverstone$, and note that $cloudburst(amberdust) = \\int_0^1 moonluster(amberdust,riverstone)\\,d riverstone$. Clearly $moonluster(amberdust,riverstone) = 1$ if $riverstone < amberdust$. On the other hand, if $riverstone \\geq amberdust$, then $moonluster(amberdust,riverstone)$ is $1$ more than the expected value of $albatross$ would be if we used the initial condition $genesisseed = riverstone$ rather than $genesisseed = 1$. By rescaling the interval $[0,riverstone]$ linearly to $[0,1]$ and noting that this sends $amberdust$ to $amberdust/riverstone$, we see that this latter expected value is equal to $cloudburst(amberdust/riverstone)$. That is, for $riverstone \\geq amberdust$, $moonluster(amberdust,riverstone) = 1+cloudburst(amberdust/riverstone)$. It follows that we have\n\\begin{align*}\ncloudburst(amberdust) &= \\int_0^1 moonluster(amberdust,riverstone)\\,d riverstone  \\\\\n&= amberdust + \\int_{amberdust}^1 \\bigl(1+cloudburst(amberdust/riverstone)\\bigr)\\,d riverstone = 1+\\int_{amberdust}^1 cloudburst(amberdust/riverstone)\\,d riverstone.\n\\end{align*}\nNow define $starflower :\\thinspace [1,\\infty) \\to \\mathbb{R}$ by $starflower(sandmirror) = cloudburst(1/sandmirror)$; then we have\n\\[\nstarflower(sandmirror) = 1+\\int_{1/sandmirror}^1 starflower(riverstone sandmirror)\\,d riverstone = 1+\\frac{1}{sandmirror}\\int_1^{sandmirror} starflower(riverstone)\\,d riverstone.\n\\]\nRewriting this as $sandmirror\\,starflower(sandmirror)-sandmirror = \\int_1^{sandmirror} starflower(riverstone)\\,d riverstone$ and differentiating with respect to $sandmirror$ gives\n$starflower(sandmirror)+sandmirror\\,starflower'(sandmirror)-1 = starflower(sandmirror)$, whence $starflower'(sandmirror) = 1/sandmirror$ and so $starflower(sandmirror) = \\log(sandmirror)+shadowpeak$ for some constant $shadowpeak$. Since $starflower(1)=cloudburst(1)=1$, we conclude that $shadowpeak = 1$, $starflower(sandmirror) = 1+\\log(sandmirror)$, and finally\n$cloudburst(amberdust) = 1-\\log(amberdust)$. This gives the claimed answer."
    },
    "descriptive_long_misleading": {
      "map": {
        "c": "vastdistance",
        "f": "unknowneffect",
        "g": "chaosmeasure",
        "h": "confusionmap",
        "n": "infinitydream",
        "x": "fixednumber",
        "x_0": "finalpoint",
        "x_1": "terminalnode",
        "x_n": "specificpoint",
        "x_n+1": "specificpointnext",
        "Z": "certaintycount",
        "\\delta": "megathreshold",
        "C": "fluxvariable"
      },
      "question": "Let $finalpoint = 1$, and let $megathreshold$ be some constant satisfying $0 < megathreshold < 1$. Iteratively, for $infinitydream=0,1,2,\\dots$, a point $specificpointnext$ is chosen uniformly from the interval $[0, specificpoint]$. Let $certaintycount$ be the smallest value of $infinitydream$ for which $specificpoint < megathreshold$.\nFind the expected value of $certaintycount$, as a function of $megathreshold$.",
      "solution": "Let $unknowneffect(megathreshold)$ denote the desired expected value of $certaintycount$ as a function of $megathreshold$.\nWe prove that $unknowneffect(megathreshold) = 1-\\log(megathreshold)$, where $\\log$ denotes natural logarithm.\n\nFor $vastdistance \\in [0,1]$, let $chaosmeasure(megathreshold,vastdistance)$ denote the expected value of $certaintycount$ given that $terminalnode=vastdistance$, and note that $unknowneffect(megathreshold) = \\int_0^1 chaosmeasure(megathreshold,vastdistance)\\,d\\!vastdistance$. Clearly $chaosmeasure(megathreshold,vastdistance) = 1$ if $vastdistance<megathreshold$. On the other hand, if $vastdistance\\geq megathreshold$, then $chaosmeasure(megathreshold,vastdistance)$ is $1$ more than the expected value of $certaintycount$ would be if we used the initial condition $finalpoint=vastdistance$ rather than $finalpoint=1$. By rescaling the interval $[0,vastdistance]$ linearly to $[0,1]$ and noting that this sends $megathreshold$ to $megathreshold/vastdistance$, we see that this latter expected value is equal to $unknowneffect(megathreshold/vastdistance)$. That is, for $vastdistance\\geq megathreshold$, $chaosmeasure(megathreshold,vastdistance) = 1+unknowneffect(megathreshold/vastdistance)$. It follows that we have\n\\begin{align*}\nunknowneffect(megathreshold) &= \\int_0^1 chaosmeasure(megathreshold,vastdistance)\\,d\\!vastdistance  \\\\\n&= megathreshold + \\int_{megathreshold}^1 \\bigl(1+unknowneffect(megathreshold/vastdistance)\\bigr)\\,d\\!vastdistance = 1+\\int_{megathreshold}^1 unknowneffect(megathreshold/vastdistance)\\,d\\!vastdistance.\n\\end{align*}\nNow define $confusionmap :\\thinspace [1,\\infty) \\to \\mathbb{R}$ by $confusionmap(fixednumber) = unknowneffect(1/fixednumber)$; then we have\n\\[\nconfusionmap(fixednumber) = 1+\\int_{1/fixednumber}^1 confusionmap(vastdistance\\,fixednumber)\\,d\\!vastdistance = 1+\\frac{1}{fixednumber}\\int_1^{fixednumber} confusionmap(vastdistance)\\,d\\!vastdistance.\n\\]\nRewriting this as $fixednumber\\,confusionmap(fixednumber)-fixednumber = \\int_1^{fixednumber} confusionmap(vastdistance)\\,d\\!vastdistance$ and differentiating with respect to $fixednumber$ gives\n$confusionmap(fixednumber)+fixednumber\\,confusionmap'(fixednumber)-1 = confusionmap(fixednumber)$, whence $confusionmap'(fixednumber) = 1/fixednumber$ and so $confusionmap(fixednumber) = \\log(fixednumber)+fluxvariable$ for some constant $fluxvariable$. Since $confusionmap(1)=unknowneffect(1)=1$, we conclude that $fluxvariable=1$, $confusionmap(fixednumber) = 1+\\log(fixednumber)$, and finally\n$unknowneffect(megathreshold) = 1-\\log(megathreshold)$. This gives the claimed answer."
    },
    "garbled_string": {
      "map": {
        "c": "vplkgrsn",
        "f": "jhtcxmzl",
        "g": "wqdfplem",
        "h": "sodknvur",
        "n": "zkrqbgwa",
        "x": "yvnmltcr",
        "x_0": "rqpshxdm",
        "x_1": "kfjzqowu",
        "x_n": "ubnwayeq",
        "x_n+1": "tajkcsro",
        "Z": "pbxidnwa",
        "\\delta": "omqzlfad",
        "C": "lgmknsao"
      },
      "question": "Let $rqpshxdm = 1$, and let $omqzlfad$ be some constant satisfying $0 < omqzlfad < 1$. Iteratively, for $zkrqbgwa=0,1,2,\\dots$, a point $tajkcsro$ is chosen uniformly from the interval $[0, ubnwayeq]$. Let $pbxidnwa$ be the smallest value of $zkrqbgwa$ for which $ubnwayeq < omqzlfad$.\\nFind the expected value of $pbxidnwa$, as a function of $omqzlfad$.",
      "solution": "Let $jhtcxmzl(omqzlfad)$ denote the desired expected value of $pbxidnwa$ as a function of $omqzlfad$.\\nWe prove that $jhtcxmzl(omqzlfad) = 1-\\log(omqzlfad)$, where $\\log$ denotes natural logarithm.\\n\\nFor $vplkgrsn \\in [0,1]$, let $wqdfplem(omqzlfad,vplkgrsn)$ denote the expected value of $pbxidnwa$ given that $kfjzqowu=vplkgrsn$, and note that $jhtcxmzl(omqzlfad) = \\int_0^1 wqdfplem(omqzlfad,vplkgrsn)\\,dvplkgrsn$. Clearly $wqdfplem(omqzlfad,vplkgrsn) = 1$ if $vplkgrsn<omqzlfad$. On the other hand, if $vplkgrsn\\geq omqzlfad$, then $wqdfplem(omqzlfad,vplkgrsn)$ is $1$ more than the expected value of $pbxidnwa$ would be if we used the initial condition $rqpshxdm=vplkgrsn$ rather than $rqpshxdm=1$. By rescaling the interval $[0,vplkgrsn]$ linearly to $[0,1]$ and noting that this sends $omqzlfad$ to $omqzlfad/vplkgrsn$, we see that this latter expected value is equal to $jhtcxmzl(omqzlfad/vplkgrsn)$. That is, for $vplkgrsn\\geq omqzlfad$, $wqdfplem(omqzlfad,vplkgrsn) = 1+jhtcxmzl(omqzlfad/vplkgrsn)$. It follows that we have\\n\\n\\begin{align*}\\njhtcxmzl(omqzlfad) &= \\int_0^1 wqdfplem(omqzlfad,vplkgrsn)\\,dvplkgrsn  \\\\&= omqzlfad + \\int_{omqzlfad}^1 \\bigl(1+jhtcxmzl(omqzlfad/vplkgrsn)\\bigr)\\,dvplkgrsn = 1+\\int_{omqzlfad}^1 jhtcxmzl(omqzlfad/vplkgrsn)\\,dvplkgrsn.\\n\\end{align*}\\nNow define $sodknvur :\\thinspace [1,\\infty) \\to \\mathbb{R}$ by $sodknvur(yvnmltcr) = jhtcxmzl(1/yvnmltcr)$; then we have\\n\\[\\nsodknvur(yvnmltcr) = 1+\\int_{1/yvnmltcr}^1 sodknvur(vplkgrsn yvnmltcr)\\,dvplkgrsn = 1+\\frac{1}{yvnmltcr}\\int_1^{yvnmltcr} sodknvur(vplkgrsn)\\,dvplkgrsn.\\n\\]\\nRewriting this as $yvnmltcr\\,sodknvur(yvnmltcr)-yvnmltcr = \\int_1^{yvnmltcr} sodknvur(vplkgrsn)\\,dvplkgrsn$ and differentiating with respect to $yvnmltcr$ gives\\n$sodknvur(yvnmltcr)+yvnmltcr\\,sodknvur'(yvnmltcr)-1 = sodknvur(yvnmltcr)$, whence $sodknvur'(yvnmltcr) = 1/yvnmltcr$ and so $sodknvur(yvnmltcr) = \\log(yvnmltcr)+lgmknsao$ for some constant $lgmknsao$. Since $sodknvur(1)=jhtcxmzl(1)=1$, we conclude that $lgmknsao=1$, $sodknvur(yvnmltcr) = 1+\\log(yvnmltcr)$, and finally\\n$jhtcxmzl(omqzlfad) = 1-\\log(omqzlfad)$. This gives the claimed answer."
    },
    "kernel_variant": {
      "question": "Let \\(x_{0}=1\\) and fix a real number \\(\\delta\\) with \\(0<\\delta<1\\).\nFor \\(n=0,1,2,\\dots\\) define the random sequence \\(x_{n+1}\\)\nby choosing \\(x_{n+1}\\) uniformly from the interval \\([0,x_{n}]\\),\nindependently of all previous choices.\nPut  \n\\[\nZ_\\delta=\\min\\{n\\ge 1:\\;x_{n}<\\delta\\}.\n\\]\n\n1.  Determine the complete probability distribution of \\(Z_\\delta\\); find a closed-form expression for  \n   \\(\\displaystyle\\Pr[Z_\\delta=n]\\;\\;(n\\ge1)\\).\n\n2.  Show that the probability-generating function  \n   \\[\n   G_\\delta(t)=\\mathbb E\\!\\bigl[t^{Z_\\delta}\\bigr],\\qquad |t|\\le1,\n   \\]\n   equals  \n   \\[\n   G_\\delta(t)=t\\,\\delta^{\\,1-t}=t\\,\\exp\\bigl[(-1+t)\\,(-\\ln\\delta)\\bigr].\n   \\]\n\n3.  Using (2) obtain an explicit formula for the\n   \\(k\\)-th moment \\(\\mathbb E\\!\\bigl[Z_\\delta^{\\,k}\\bigr]\\) (\\(k\\in\\mathbb N\\)).\n   Express your answer in any two of the following equivalent forms  \n\n   (a) in terms of Stirling numbers of the second kind \\(S(m,j)\\);   \n\n   (b) in terms of the Touchard/Bell polynomials  \n       \\(B_m(L)=\\displaystyle\\sum_{j=0}^{m}S(m,j)L^{j}\\),  \n       where \\(L=-\\ln\\delta\\).\n\n4.  Deduce in particular that  \n   \\[\n   \\operatorname{Var}(Z_\\delta)=-\\ln\\delta .\n   \\]",
      "solution": "Throughout set  \n\\[\nL:=-\\ln\\delta>0 .\n\\]\n\n--------------------------------------------------------------------\n1.  The law of \\(Z_\\delta\\).\n\nFirst write  \n\\(x_{n}=x_{0}\\prod_{i=1}^{n}U_{i}=\\prod_{i=1}^{n}U_{i}\\),\nwhere the i.i.d.\\ variables \\(U_{i}\\sim\\mathrm{Unif}(0,1)\\).\nPut \\(E_{i}:=-\\ln U_{i}\\); then \\(E_{i}\\stackrel{\\text{i.i.d.}}{\\sim}\\operatorname{Exp}(1)\\)\nand  \n\\[\n-\\ln x_{n}=\\sum_{i=1}^{n}E_{i}=:{S_{n}}.\n\\]\nThus\n\\[\nZ_\\delta=\\min\\bigl\\{n\\ge1:S_{n}>L\\bigr\\}.\n\\]\n\nInterpret \\((S_{n})_{n\\ge0}\\) as the jump times of a rate-\\(1\\) Poisson\nprocess \\(\\bigl(N(t)\\bigr)_{t\\ge0}\\) via\n\\(\nS_{n}=\\inf\\{t\\ge0:N(t)=n\\}.\n\\)\nThen\n\\[\nZ_\\delta=n\n\\iff\nN(L)=n-1 .\n\\]\nBecause \\(N(L)\\sim\\operatorname{Poisson}(L)\\),\n\\[\n\\Pr[Z_\\delta=n]=\\Pr\\!\\bigl[N(L)=n-1\\bigr]\n              =e^{-L}\\frac{L^{\\,n-1}}{(n-1)!}\n              =\\boxed{\\;\n                \\delta\\;\\frac{(-\\ln\\delta)^{\\,n-1}}{(n-1)!}\\;},\n              \\qquad n\\ge1 .\n\\]\n\n(The same formula may be obtained by integrating the gamma density:\n\\(\\Pr[S_{n-1}\\le L < S_{n}]=\n\\int_{0}^{L}e^{-(L-x)}\\frac{x^{\\,n-2}e^{-x}}{(n-2)!}\\,dx\\).)\n\n--------------------------------------------------------------------\n2.  The probability-generating function.\n\nSince \\(Z_\\delta=1+N(L)\\) with \\(N(L)\\sim\\operatorname{Poisson}(L)\\),\n\\[\nG_\\delta(t)=\\mathbb E[t^{1+N(L)}]\n           =t\\,\\exp\\!\\bigl(L(t-1)\\bigr)\n           =t\\,\\exp\\!\\bigl((1-t)\\ln\\delta\\bigr)\n           =\\boxed{\\,t\\,\\delta^{\\,1-t}\\,}.\n\\]\n\n--------------------------------------------------------------------\n3.  Higher moments.\n\n(a)  Derivatives of the PGF give factorial moments.\nWrite \\(G(t)=t e^{L(t-1)}\\) and \\(H(t)=e^{L(t-1)}\\) (the PGF of a Poisson\nrandom variable).  For \\(j\\ge1\\),\n\\[\nG^{(j)}(1)=H^{(j)}(1)+j\\,H^{(j-1)}(1)=L^{\\,j}+j\\,L^{\\,j-1},\n\\qquad G^{(0)}(1)=1 .\n\\]\nFaà-di-Bruno’s inversion yields for every \\(k\\ge1\\)\n\\[\n\\boxed{\\;\n\\mathbb E\\bigl[Z_\\delta^{\\,k}\\bigr]\n    =\\sum_{j=0}^{k}S(k,j)\\bigl(L^{\\,j}+j\\,L^{\\,j-1}\\bigr)\n    =\\sum_{j=0}^{k}\\Bigl[S(k,j)+(j+1)S(k,j+1)\\Bigr]\\,L^{\\,j}\\;\n}.\n\\]\n\n(b)  Because \\(Z_\\delta=1+N(L)\\), expand via the binomial theorem:\n\\[\n\\mathbb E\\!\\bigl[Z_\\delta^{\\,k}\\bigr]\n       =\\sum_{m=0}^{k}\\binom{k}{m}\\mathbb E[N(L)^{m}]\n       =\\sum_{m=0}^{k}\\binom{k}{m}B_{m}(L),\n\\]\nwhere \\(B_{m}\\) is the Touchard/Bell polynomial\n\\(B_{m}(L)=\\displaystyle\\sum_{j=0}^{m}S(m,j)L^{j}\\).\n\nEither expression furnishes a closed form in terms of\nStirling numbers and the parameter \\(L=-\\ln\\delta\\).\n\nCheck:  \n\\(k=1\\): \\(\\mathbb E[Z_\\delta]=1+L\\).  \n\\(k=2\\): \\(\\mathbb E[Z_\\delta^{2}]=1+3L+L^{2}\\).\n\n--------------------------------------------------------------------\n4.  The variance.\n\nFrom \\(Z_\\delta=1+N(L)\\) we have\n\\[\n\\mathbb E[Z_\\delta]=1+L,\\qquad\n\\operatorname{Var}(Z_\\delta)=\\operatorname{Var}\\bigl[N(L)\\bigr]=L.\n\\]\nHence\n\\[\n\\boxed{\\operatorname{Var}(Z_\\delta)=-\\ln\\delta.}\n\\]\n\n--------------------------------------------------------------------",
      "metadata": {
        "replaced_from": "harder_variant",
        "replacement_date": "2025-07-14T19:09:31.871058",
        "was_fixed": false,
        "difficulty_analysis": "•  The original problem required only the first moment; the enhanced variant demands the entire distribution, its generating function, ALL moments, and the variance.  \n•  Solving it entails a blend of continuous-time ideas (Gamma sums of exponentials), discrete probability (probability–generating functions), and combinatorial identities (Stirling numbers and Faà-di-Bruno), well beyond the single integral equation used originally.  \n•  Recovering \\(\\Pr[Z_\\delta=n]\\) forces careful handling of first–passage events for a sum of exponentials.  \n•  Deriving general moments from \\(G_\\delta(t)\\) and expressing them with Stirling numbers adds an additional combinatorial layer absent from the original solution.  \n•  Altogether, the solution chain—exact law → PGF → factorial moments → ordinary moments— introduces several advanced concepts and considerably more steps, satisfying the brief’s requirement of significantly heightened technical complexity."
      }
    },
    "original_kernel_variant": {
      "question": "Let \\(x_{0}=1\\) and fix a real number \\(\\delta\\) with \\(0<\\delta<1\\).\nFor \\(n=0,1,2,\\dots\\) define the random sequence \\(x_{n+1}\\)\nby choosing \\(x_{n+1}\\) uniformly from the interval \\([0,x_{n}]\\),\nindependently of all previous choices.\nPut  \n\\[\nZ_\\delta=\\min\\{n\\ge 1:\\;x_{n}<\\delta\\}.\n\\]\n\n1.  Determine the complete probability distribution of \\(Z_\\delta\\); find a closed-form expression for  \n   \\(\\displaystyle\\Pr[Z_\\delta=n]\\;\\;(n\\ge1)\\).\n\n2.  Show that the probability-generating function  \n   \\[\n   G_\\delta(t)=\\mathbb E\\!\\bigl[t^{Z_\\delta}\\bigr],\\qquad |t|\\le1,\n   \\]\n   equals  \n   \\[\n   G_\\delta(t)=t\\,\\delta^{\\,1-t}=t\\,\\exp\\bigl[(-1+t)\\,(-\\ln\\delta)\\bigr].\n   \\]\n\n3.  Using (2) obtain an explicit formula for the\n   \\(k\\)-th moment \\(\\mathbb E\\!\\bigl[Z_\\delta^{\\,k}\\bigr]\\) (\\(k\\in\\mathbb N\\)).\n   Express your answer in any two of the following equivalent forms  \n\n   (a) in terms of Stirling numbers of the second kind \\(S(m,j)\\);   \n\n   (b) in terms of the Touchard/Bell polynomials  \n       \\(B_m(L)=\\displaystyle\\sum_{j=0}^{m}S(m,j)L^{j}\\),  \n       where \\(L=-\\ln\\delta\\).\n\n4.  Deduce in particular that  \n   \\[\n   \\operatorname{Var}(Z_\\delta)=-\\ln\\delta .\n   \\]",
      "solution": "Throughout set  \n\\[\nL:=-\\ln\\delta>0 .\n\\]\n\n--------------------------------------------------------------------\n1.  The law of \\(Z_\\delta\\).\n\nFirst write  \n\\(x_{n}=x_{0}\\prod_{i=1}^{n}U_{i}=\\prod_{i=1}^{n}U_{i}\\),\nwhere the i.i.d.\\ variables \\(U_{i}\\sim\\mathrm{Unif}(0,1)\\).\nPut \\(E_{i}:=-\\ln U_{i}\\); then \\(E_{i}\\stackrel{\\text{i.i.d.}}{\\sim}\\operatorname{Exp}(1)\\)\nand  \n\\[\n-\\ln x_{n}=\\sum_{i=1}^{n}E_{i}=:{S_{n}}.\n\\]\nThus\n\\[\nZ_\\delta=\\min\\bigl\\{n\\ge1:S_{n}>L\\bigr\\}.\n\\]\n\nInterpret \\((S_{n})_{n\\ge0}\\) as the jump times of a rate-\\(1\\) Poisson\nprocess \\(\\bigl(N(t)\\bigr)_{t\\ge0}\\) via\n\\(\nS_{n}=\\inf\\{t\\ge0:N(t)=n\\}.\n\\)\nThen\n\\[\nZ_\\delta=n\n\\iff\nN(L)=n-1 .\n\\]\nBecause \\(N(L)\\sim\\operatorname{Poisson}(L)\\),\n\\[\n\\Pr[Z_\\delta=n]=\\Pr\\!\\bigl[N(L)=n-1\\bigr]\n              =e^{-L}\\frac{L^{\\,n-1}}{(n-1)!}\n              =\\boxed{\\;\n                \\delta\\;\\frac{(-\\ln\\delta)^{\\,n-1}}{(n-1)!}\\;},\n              \\qquad n\\ge1 .\n\\]\n\n(The same formula may be obtained by integrating the gamma density:\n\\(\\Pr[S_{n-1}\\le L < S_{n}]=\n\\int_{0}^{L}e^{-(L-x)}\\frac{x^{\\,n-2}e^{-x}}{(n-2)!}\\,dx\\).)\n\n--------------------------------------------------------------------\n2.  The probability-generating function.\n\nSince \\(Z_\\delta=1+N(L)\\) with \\(N(L)\\sim\\operatorname{Poisson}(L)\\),\n\\[\nG_\\delta(t)=\\mathbb E[t^{1+N(L)}]\n           =t\\,\\exp\\!\\bigl(L(t-1)\\bigr)\n           =t\\,\\exp\\!\\bigl((1-t)\\ln\\delta\\bigr)\n           =\\boxed{\\,t\\,\\delta^{\\,1-t}\\,}.\n\\]\n\n--------------------------------------------------------------------\n3.  Higher moments.\n\n(a)  Derivatives of the PGF give factorial moments.\nWrite \\(G(t)=t e^{L(t-1)}\\) and \\(H(t)=e^{L(t-1)}\\) (the PGF of a Poisson\nrandom variable).  For \\(j\\ge1\\),\n\\[\nG^{(j)}(1)=H^{(j)}(1)+j\\,H^{(j-1)}(1)=L^{\\,j}+j\\,L^{\\,j-1},\n\\qquad G^{(0)}(1)=1 .\n\\]\nFaà-di-Bruno’s inversion yields for every \\(k\\ge1\\)\n\\[\n\\boxed{\\;\n\\mathbb E\\bigl[Z_\\delta^{\\,k}\\bigr]\n    =\\sum_{j=0}^{k}S(k,j)\\bigl(L^{\\,j}+j\\,L^{\\,j-1}\\bigr)\n    =\\sum_{j=0}^{k}\\Bigl[S(k,j)+(j+1)S(k,j+1)\\Bigr]\\,L^{\\,j}\\;\n}.\n\\]\n\n(b)  Because \\(Z_\\delta=1+N(L)\\), expand via the binomial theorem:\n\\[\n\\mathbb E\\!\\bigl[Z_\\delta^{\\,k}\\bigr]\n       =\\sum_{m=0}^{k}\\binom{k}{m}\\mathbb E[N(L)^{m}]\n       =\\sum_{m=0}^{k}\\binom{k}{m}B_{m}(L),\n\\]\nwhere \\(B_{m}\\) is the Touchard/Bell polynomial\n\\(B_{m}(L)=\\displaystyle\\sum_{j=0}^{m}S(m,j)L^{j}\\).\n\nEither expression furnishes a closed form in terms of\nStirling numbers and the parameter \\(L=-\\ln\\delta\\).\n\nCheck:  \n\\(k=1\\): \\(\\mathbb E[Z_\\delta]=1+L\\).  \n\\(k=2\\): \\(\\mathbb E[Z_\\delta^{2}]=1+3L+L^{2}\\).\n\n--------------------------------------------------------------------\n4.  The variance.\n\nFrom \\(Z_\\delta=1+N(L)\\) we have\n\\[\n\\mathbb E[Z_\\delta]=1+L,\\qquad\n\\operatorname{Var}(Z_\\delta)=\\operatorname{Var}\\bigl[N(L)\\bigr]=L.\n\\]\nHence\n\\[\n\\boxed{\\operatorname{Var}(Z_\\delta)=-\\ln\\delta.}\n\\]\n\n--------------------------------------------------------------------",
      "metadata": {
        "replaced_from": "harder_variant",
        "replacement_date": "2025-07-14T01:37:45.659970",
        "was_fixed": false,
        "difficulty_analysis": "•  The original problem required only the first moment; the enhanced variant demands the entire distribution, its generating function, ALL moments, and the variance.  \n•  Solving it entails a blend of continuous-time ideas (Gamma sums of exponentials), discrete probability (probability–generating functions), and combinatorial identities (Stirling numbers and Faà-di-Bruno), well beyond the single integral equation used originally.  \n•  Recovering \\(\\Pr[Z_\\delta=n]\\) forces careful handling of first–passage events for a sum of exponentials.  \n•  Deriving general moments from \\(G_\\delta(t)\\) and expressing them with Stirling numbers adds an additional combinatorial layer absent from the original solution.  \n•  Altogether, the solution chain—exact law → PGF → factorial moments → ordinary moments— introduces several advanced concepts and considerably more steps, satisfying the brief’s requirement of significantly heightened technical complexity."
      }
    }
  },
  "checked": true,
  "problem_type": "calculation"
}