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Uniform plus exponential exceeding one

Question

Let UU be uniform on (0,1)(0,1) and VV be exponential with rate 11, independent. The probability P(U+V>1)P(U+V>1) can be written as a−eba-e^{b} with integers a,ba,b. Compute abab.

Short answer

−1-1. Condition on U=uU=u: the exponential tail gives P(V>1−u)=eu−1P(V>1-u)=e^{u-1}. Integrating this over u∈(0,1)u\in(0,1) yields 1−1e1-\tfrac1e, so a=1a=1, b=−1b=-1 and ab=−1ab=-1.

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