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Range versus midpoint of two exponentials

Question

Draw two independent Exp(1)\text{Exp}(1) random variables X1,X2X_1,X_2. What is the probability that their range, ∣X1−X2∣|X_1-X_2|, exceeds their average X1+X22\tfrac{X_1+X_2}{2}?

Short answer

12\tfrac12. Writing mm and MM for the smaller and larger value, the condition M−m>m+M2M-m>\tfrac{m+M}{2} simplifies to M>3mM>3m, i.e. M−m>2mM-m>2m. By memorylessness m∼Exp(2)m\sim\text{Exp}(2) and M−m∼Exp(1)M-m\sim\text{Exp}(1) independently, so the probability is E[e−2m]=22+2=12\mathbb{E}[e^{-2m}]=\tfrac{2}{2+2}=\tfrac12.

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

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