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Let X_1,X_2,... be independent iid s.v. and asume that P(X_1=1) = 1-P(X_1=0) = p in (0,1) Let Y be given by Y = inf{n in N : X_n=1} so that Y=n, where n in N, if and only if X_1=...=X_n-1=0 while X_n=1.
Show that E[Y|X_1] = 1+(1-X_1)E[Y]
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