The probability generating function of the discrete nonnegative integer valued random variable having probability mass function p

Question:

The probability generating function of the discrete nonnegative integer valued random variable having probability mass function pj, j ≥ 0, is defined by


Let be a geometric random variable with parameter p = 1 - s, where 0 < s < 1. Suppose that is independent of X, and show that

ϕ(s) = P{X < Y}

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