[Math] Expected value minimum of discrete and continuous uniform distribution

probability

I need the expected value of a minimum, normally this is not a problem at all but in this case it is the minimum of a uniform discrete and a uniform continuous distribution.

Let $X$ be a random variable from a uniform distributon over $[1,3]$ and let $Y$ be a random variable with $$p(y=1)=p(y=2)=p(y=3)=\frac{1}{3}$$ It immediately follows that $$E[X] = E[Y] = 2$$ Now I need $E[\min(X,Y)]$.

I found a lot of topics about the expected value of the minimum. However, in all topics they used only discrete or only continuous and not both.

Best Answer

For every independent nonnegative random variables $X$ and $Y$, the random variable $Z=\min(X,Y)$ has expectation $$ E[Z]=\int_0^\infty P[Z\geqslant t]\,\mathrm dt =\int_0^\infty P[X\geqslant t]\,P[Y\geqslant t]\,\mathrm dt. $$ In your case, one can decompose the integral on the RHS as the sum of the integrals on the intervals $(0,1)$, $(1,2)$, and $(2,3)$, and compute $P[X\geqslant t]$ and $P[Y\geqslant t]$ separately for $t$ in each of these intervals. This yields:

  • If $t$ is in $(0,1)$, then $P[X\geqslant t]=P[Y\geqslant t]=1$
  • If $t$ is in $(1,2)$, then $P[X\geqslant t]=\frac{3-t}2$ and $P[Y\geqslant t]=\frac23$
  • If $t$ is in $(2,3)$, then $P[X\geqslant t]=\frac{3-t}2$ and $P[Y\geqslant t]=\frac13$

Thus, $E[Z]=$ $1$ $+$ $______$ $+$ $______$ $=$ $______$.

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