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Chance n uniforms add up to at most one

Question

Let X1,…,XnX_1,\dots,X_n be independent, each uniform on (0,1)(0,1). Find P(X1+X2+⋯+Xn≤1)\mathbb{P}(X_1+X_2+\dots+X_n\le1).

Short answer

1/n!1/n!. The event is the simplex {xi≥0, ∑xi≤1}\{x_i\ge0,\ \sum x_i\le1\} inside the unit cube, whose volume is 1n!\tfrac1{n!}. By induction, P(Sn−1≤s)=sn−1(n−1)!\mathbb{P}(S_{n-1}\le s)=\tfrac{s^{n-1}}{(n-1)!} for s≤1s\le1, and conditioning on Xn=xX_n=x gives ∫01(1−x)n−1(n−1)!dx=1n!\int_0^1\tfrac{(1-x)^{n-1}}{(n-1)!}dx=\tfrac1{n!}.

Adapted from Zhou, A Practical Guide to Quantitative Finance Interviews, sec. 4.5 Expected Value, Variance & Covariance, 'Sum of random variables', p.94; question and answer rewritten by SelfMadeQuant.com.

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