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$$\int_{[0,1]^n} \max(x_1,\ldots,x_n) \, dx_1\cdots dx_n$$

My work:

I know that because all $x_k$ are symmetrical I can assume that $1\geq x_1 \geq \cdots \geq x_n\geq 0$ and multiply the answer by $n!$ so we get that $\max(x_1\ldots,x_n)=x_1$ and the integral that we want to calculate is $n!\int_0^1 x_1 \, dx_1 \int_0^{x_1}dx_2\cdots\int_0^{x_{n-1}} \, dx_n$ and now it should be easier but I'm stuck..

Can anyone help?

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    $\begingroup$ Try the case $n=2$ first. $\endgroup$ – Jean Marie Jul 28 '16 at 21:21
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One can see by induction that:

$$\int_0^1 x_1 dx_1 \int_0^{x_2 } dx_2 \cdots = \int_0^1 x_1 \frac{x_{n - (n-1)}^{n-1}}{(n-1)!} dx_1 =\frac{1}{(n+1) \times (n-1)!}$$

Therefore, the original integral is:

$$n! \times \frac1{(n+1) \times (n-1)!} = \frac{n}{n+1}$$

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This is an alternative approach.

Let $X_i$ ($i=1,\cdots , n$) be independent uniform random variable in $[0,1]$.

What is the PDF of $M=\max (X_1, \cdots, X_n)$?

Then what is $\mathbf{E}[M]$?

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    $\begingroup$ Ah, a probabilistic approach. Nice. $\endgroup$ – Brevan Ellefsen Jul 28 '16 at 22:33
  • $\begingroup$ @BrevanEllefsen: knowing the properties of Beta distributions make this rather easy $\endgroup$ – Henry Jul 29 '16 at 8:22
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Note that $\max(x_1,x_2,\dots,x_n)=\max(x_1,\max(x_2,\dots,x_n))$. In addition, note that

$$\begin{align} \int_0^1\int_0^1\max(x,y)\,dx\,dy&=\int_0^1\left(\int_0^y y\,dx+\int_y^1 x\,dx\right)\,dy\\\\ &=\int_0^1 \left(\frac12+\frac12 y^2\right)\,dy \end{align}$$

Now, we can write

$$\begin{align} \int_0^1 \max(x_1,x_2,\dots,x_n)\,dx_1&=\int_0^1 \max(x_1,\max(x_2,\dots,x_n))\,dx_1\\\\ &=\int_0^{\max(x_2,\dots,x_n)}\max(x_2,\dots,x_n)\,dx_1+\int_{\max(x_2,\dots,x_n)}^1x_1\,dx_1\\\\ &=\frac12 +\frac12\left(\max(x_2,\dots,x_n)\right)^2 \end{align}$$

Then, observe that

$$\begin{align} \frac{1}{k}\int_0^1 \left(\max(x_k,\dots ,x_n)\right)^{k}\,dx_k&=\int_0^{\max(x_{k+1},\dots ,x_n)}\left(\max(x_{k+1},\dots ,x_n)\right)^k\,dx_k+\int_{\max(x_{k+1},\dots ,x_n)}^1 x_k^k\,dx_k\\\\ &=\frac{1}{k}\left(\frac{k}{k+1}\left(\max(x_{k+1},\dots,x_n)\right)^{k+1}+\frac{1}{k+1}\right)\\\\ &=\frac{1}{k(k+1)}+\frac{1}{k+1}\left(\max(x_{k+1},\dots,x_n)\right)^{k+1} \end{align}$$

Proceeding inductively, we find that

$$\begin{align} \int_0^1\cdots \int_0^1 \max(x_1,x_2,\dots,x_n)\,dx_1\cdots dx_n&=\frac1{(2)(1)}+\frac{1}{(3)(2)}+\frac{1}{(4)(3)}+\cdots +\frac{1}{(n+1)(n)}\\\\ &=\sum_{k=1}^n \frac{1}{k(k+1)}\\\\ &=\sum_{k=1}^{n}\left(\frac{1}{k}-\frac{1}{k+1}\right)\\\\ &=\frac{n}{n+1} \end{align}$$

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    $\begingroup$ +1. It's an elegant proof. Given the quite simple and unexpected result, we always think it must be some simple or, lets say, 'direct procedure'. This 'theorem' doesn't seem to be true, anyway. $\endgroup$ – Felix Marin Jul 29 '16 at 1:43
  • $\begingroup$ @felixmarin Thank you! And very much appreciated as always. -Mark $\endgroup$ – Mark Viola Jul 29 '16 at 12:18
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This is pretty straightforward using probabilistic methods: What you're looking for is

$$E[\max_{1 \le i \le n} X_i] = \int_{[0,1]^n} \max x_i \ \ dx_1\dots dx_n$$

where $X_i$ are iid uniformly distribuited on $[0,1]$.

Now call $Y = \max_i X_i$; its distirbution function is given by

$$F_Y(x) = P(\max X_i \le x) = \prod_i P(X_i \le x) = x^n \ \ \ \text{ $x \in [0,1]$}$$

Hence $Y$ is absolutely continuos and its density is given by $$f_Y(x) = nx^{n-1}1_{[0,1]}(x)$$

Hence we find that

$$E[\max X_i] = E[Y] = \int_\mathbb R xf_Y(x) dx = \int_0^1 nx^n dx = \frac n{n+1}$$

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