# Calculating a probability based on a joint distribution between a Uniform random variable nested within a Uniform(0,1) random variable

Let $$X_1 \sim Uniform(0,1)$$, and $$X_2 \sim Uniform(0, x_1)$$, where $$x_1$$ is the realized value of $$X_1$$. Find $$P(X_1 + X_2 \geq 1)$$.

I know that I need the joint distribution of $$X_1$$ and $$X_2$$.

$$f_1(x_1) = 1, \ 0 < x_1 < 1$$

$$f_{2|1}(x_2|x_1) = \frac{1}{x_1}, \ 0 < x_2 < x_1$$

$$f_{1,2}(x_1, x_2) = f_{2|1}(x_2|x_1)f_1(x_1) = \frac{1}{x_1}, \ 0 < x_2 < x_1 < 1$$.

What are the limits of integration when integrating this joint PDF to get the desired probability?

• What relation do $X_1$ and $X_2$ have? Independent? – user158565 Nov 30 '18 at 1:51
• @user158565 They can't be independent; the form of dependence is given in the question. – Glen_b -Reinstate Monica Nov 30 '18 at 5:01
• @Glen_b Answer was modified. – user158565 Nov 30 '18 at 5:19

Here is some hint:

You already get the joint pdf, and the range of $$X_1$$, and $$X_2$$ as showed in graph black and red area.

The probability of the event = integral of pdf on the area that event defined. In your case, $$X_1+X_2>1$$ is the red area in the graph above. So $$\Pr(X_1+X_2>1) = \int_?^?\int_?^? \frac 1{x_1}dx_1dx_2$$ So you need find the limits of the integrals, then you get the answer.

• Thanks, that's really helpful. I think that it's easier to integrate with respect to $x_2$ first, from $1- x_1$ to $x_1$. Then, I integrate with respect to $x_1$, from $0.5$ to $1$. – MSE Dec 2 '18 at 14:07
• You are right. Graph is very helpful for this kind of questions. – user158565 Dec 2 '18 at 16:40

My advice with figuring out limits is draw a picture (by hand will generally suffice, though):

You should be able to figure out the upper and lower limits from that. Consider which variable to integrate over first; one may be a tad easier than the other.

There's also a symmetry you can exploit which simplifies the slightly trickier of the two integrals, which may save a line.