Chance n uniforms add up to at most one
Question
Let be independent, each uniform on . Find .
Short answer
. The event is the simplex inside the unit cube, whose volume is . By induction, for , and conditioning on gives .
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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Open the worked solutionLessons behind this question
- Continuous Random Variables and Probability Density Functions
- Cumulative Distribution Functions
- Series and the Geometric Series: Partial Sums and Convergence
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