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Sample minimum plus maximum exceeding one

Question

Draw nn independent Unif(0,1)\text{Unif}(0,1) values X1,…,XnX_1,\dots,X_n, and let UU be the smallest and VV the largest of them. Find P[U+V>1]\mathbb{P}[U+V>1].

Short answer

1/21/2. Replacing every XiX_i by 1−Xi1-X_i leaves the joint law unchanged but turns (U,V)(U,V) into (1−V,1−U)(1-V,1-U), which maps the event U+V>1U+V>1 onto U+V<1U+V<1. The two events are equally likely and U+V=1U+V=1 has probability zero, so each has probability 12\tfrac12.

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

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