Here's a probabilistic solution to your problem. Suppose XN is a binomial random variable with parameters N and s/N (ie. XN counts the number of heads in N independent coin flips, each with probability s/N of heads). Also let P be a Poisson random variable with mean s, so that for all non-negative integers k:
Prob[P=k]=e−sfracskk!.
A well-known result sometimes called the law of rare events implies that the distribution of XN converges to that of P as Nto+infty. In particular, for any bounded real-valued function f defined on the non-negative integers:
E(f(XN))=sumNk=0binomNkleft(1−fracsNright)N−kleft(fracsNright)kf(k)toE(f(P))=sum+inftyk=0e−sfracskk!f(k).
Apply this to f satisfying f(x)=1/x if x>0, f(0)=0, and the LHS becomes your expression. The RHS becomes:
sum+inftyk=1e−sfracskk!timesk=e−sints0fraceu−1udu,
which I guess is the same as the previous answer.
Added note: a quantitative version of the law of rare events gives the error bound:
forallf:Nto[0,1],|E(f(XN))−E(f(P))|leqsleft(1−e−s/Nright);
this allows for simultaneous limits in N and s, and goes to 0 iff s2/Nto0.
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