When the extremes sum above one

Let X1,,XnUnif(0,1)X_1, \dots, X_n \sim \text{Unif}(0,1) be IID, with U=miniXiU = \min_i X_i and V=maxiXiV = \max_i X_i. Compute P[U+V>1]\mathbb{P}[U + V > 1].

Show hints (2)+
  1. Replace every XiX_i by 1Xi1-X_i: same distribution, but min and max swap.
  2. That shows U+VU+V is symmetric about 11, so P[U+V>1]=12\mathbb{P}[U+V>1]=\tfrac12, for all nn.

Answer

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0.5 (± 0.001)

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Asked at: Jane Street, Two Sigma

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