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Distribution of the largest and smallest uniforms

Question

Let U1,…,UnU_1,\dots,U_n be independent and uniform on [0,1][0,1]. For both M=max⁡iUiM=\max_i U_i and m=min⁡iUim=\min_i U_i, find the cumulative distribution function, the density and the expected value.

Short answer

Max: F(x)=xnF(x)=x^n, f(x)=nxn−1f(x)=nx^{n-1}, mean nn+1\tfrac{n}{n+1}. Min: F(x)=1−(1−x)nF(x)=1-(1-x)^n, f(x)=n(1−x)n−1f(x)=n(1-x)^{n-1}, mean 1n+1\tfrac{1}{n+1}. The max is below xx only if every UiU_i is, and the min is above xx only if every UiU_i is; differentiate and integrate to get the density and mean.

Adapted from Zhou, A Practical Guide to Quantitative Finance Interviews, sec. 4.6 Order Statistics, 'Expected value of max and min', p.98; question and answer rewritten by SelfMadeQuant.com.

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