Proof that a sum of Bernoulli rvs has Binomial distribution Let $\{X_n, n \geq 1\}$ be iid Bernoulli random variables with $\Pr(X_1 = 1) = p = 1 - \Pr(X_1 = 0)$ and let $S_n = \sum\limits_{i=1}^n X_i$ be the number of successes in $n$ trials. Show $S_n$ has a binomial distribution by the following methods:
1.) Prove for $n\geq0,$ $1\leq{k}\leq{n+1}$
$$\Pr(S_{n+1} = k) = p\Pr(S_n = k - 1) + q\Pr(S_n = k)\text{ where }q = 1-p.$$
2.) Solve the recursion using generating functions.
For the first method, I think I need to use convolution of $n + 1$ Bernoulli rvs, but I cannot immediately see the progression. For the second method, I don't exactly understand how to proceed either. This is problem 1.2 from Resnick's Adventures in Stochastic Processes.
 A: It's really a lot more straightforward than what you're making it out to be.  The first one is simply asking you to condition on the outcome of the $(n+1)^{\rm th}$ Bernoulli trial.  That is to say, let $\{ X_i \}_{i \ge 1}$ be a sequence of IID ${\rm Bernoulli}(p)$ variables, and define $S_k = \sum_{i=1}^k X_i$ be their partial sums.  Then $S_{n+1} = S_n + X_{n+1}$, and it is easy to see that if $S_{n+1} = k$, then either $S_n = k$ and $X_{n+1} = 0$, or $S_n = k-1$ and $X_{n+1} = 1$.  So use the law of total probability, conditioning on the outcome of $X_{n+1}$, to get the probability of $S_{n+1} = k$ via induction.
For the second method, use moment generating functions.  Recall that the MGF of a Bernoulli distribution is $$M_X(t) = {\rm E}[e^{tX}] = e^{t \cdot 1} \Pr[X = 1] + e^{t \cdot 0} \Pr[X = 0] = (1-p) + pe^t.$$  Also recall that the sum of $n$ IID random variables has MGF equal to the $n{\rm th}$ power of the MGF of the individual variable, so the MGF of the sum is $$M_{S_n}(t) = (M_X(t))^n = (1-p + pe^t)^n.$$  Now compute the binomial MGF directly from its PMF, and if is the same, you have just proven the result.
A: Using generating functions: Let $P$ be the generating function for one Bernoulli trial, i.e. for one $X_i$: we have
$$P(s) = q + ps,$$
as the outcome is $X_i = 0$ with probability $q$, and $1$ with probability $p$.
Then the generating function for the sum of $n$ trials is
$$P(s)^n = (q + ps)^n = \sum_{r=0}^{n}\binom{n}{r}(ps)^r q^{n-r},$$
in which the coefficient of $s^k$ is $\binom{n}{k}p^k q^{n-k}$, which is the generating function for a binomial distribution.
