Problem 8.26 Medium Free

Minimum Plus Maximum Exceeds One

Let X1,…,XnX_1,\dots,X_n be i.i.d. Unif(0,1)\mathrm{Unif}(0,1) random variables, and set U=min⁡{X1,…,Xn}U=\min\{X_1,\dots,X_n\} and V=max⁡{X1,…,Xn}V=\max\{X_1,\dots,X_n\}. Find P[U+V>1]\mathbb{P}[U+V>1].

Work it out, then compare with the answer.

SolutionShow the worked solution

Key idea. Reflecting every sample through 12\tfrac12 swaps the minimum and the maximum and turns {U+V>1}\{U+V>1\} into {U+V<1}\{U+V<1\}.

Set Yi=1−XiY_i=1-X_i. The YiY_i are again i.i.d. Unif(0,1)\mathrm{Unif}(0,1), so (Y1,…,Yn)(Y_1,\dots,Y_n) has the same joint law as (X1,…,Xn)(X_1,\dots,X_n).

The map x↦1−xx\mapsto 1-x is decreasing. Hence

min⁡iYi=1−V,max⁡iYi=1−U.\min_i Y_i = 1-V, \qquad \max_i Y_i = 1-U .

The pair (min⁡iYi,max⁡iYi)(\min_i Y_i,\max_i Y_i) has the same law as (U,V)(U,V). Therefore

P[U+V>1]=P[(1−V)+(1−U)>1]=P[U+V<1].\mathbb{P}[U+V>1]=\mathbb{P}\big[(1-V)+(1-U)>1\big]=\mathbb{P}[U+V<1].

Next we show that the boundary case has probability zero. Since UU and VV are both among the XiX_i, the event {U+V=1}\{U+V=1\} forces Xi+Xj=1X_i+X_j=1 for some pair i,ji,j, with i=ji=j allowed. There are only finitely many such pairs, and each event {Xi+Xj=1}\{X_i+X_j=1\} has probability 00, because Xi+XjX_i+X_j is a continuous random variable. So P[U+V=1]=0\mathbb{P}[U+V=1]=0.

The two remaining probabilities are equal and sum to 11. Hence, for every n≥1n\ge 1,

P[U+V>1]=12\boxed{\mathbb{P}[U+V>1]=\tfrac12}