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Circle area versus ellipse area with exponential radii

Question

An ellipse centred at the origin has horizontal semi-axis AA and vertical semi-axis BB, where AA and BB are independent Exp(1)\text{Exp}(1) random variables; its area is πAB\pi AB. A circle is drawn whose diameter equals AA. What is the probability that the circle has the larger area?

Short answer

1/51/5. The circle's area is πA2/4\pi A^2/4, which beats πAB\pi AB exactly when A>4BA>4B. For independent rate-11 exponentials, P[A>4B]=∫0∞e−be−4b db=15\mathbb{P}[A>4B]=\int_0^\infty e^{-b}e^{-4b}\,db=\tfrac15.

Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.

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