Arkansas Tech University

MATH 2934: Calculus III
Dr. Marcel B. Finan
28 Applications of Double Integrals to Prob-
ability
Probability is one of the major topics in mathematics. It is used widely
across many fields: physics, medicine, insurance, and finance, to name just a
few. The medical and insurance industries for example, collect data on dis-
ease (cardiovascular, cancer, etc.) and mortality (due to accidents, suicide,
murder, etc.) in the general population and use this information to predict
the likely outcomes of these “events” e.g. having a heart attack, being in an
automobile accident, etc.
The medical industry may use this information to concentrate its efforts on
development of new drugs, education, or treatment of disease in the general
population, while the insurance industry may use this information to set pol-
icy rates.
Some basic definitions follow. An experiment is any operation whose out-
comes cannot be predicted with certainty. The sample space S of an ex-
periment is the set of all possible outcomes for the experiment. For example,
if you roll a die one time then the experiment is the roll of the die. A sam-
ple space for this experiment could be S = {1, 2, 3, 4, 5, 6} where each digit
represents a face of the die. An event is any subset of the sample space.
Probability is the measure of occurrence of an event. It is a number be-
tween 0 and 1. If the event is impossible to occur then its probability is 0.
If the occurrence is certain then the probability is 1. The closer to 1 the
probability is, the more likely the event is to occur.
If E is any event of a sample space S, then the probability of occurrence of
E is given by the formula
P(E) =
|E|
|S|
where |E| denotes the number of outcomes in the set E.
A random variable X is a numerical valued function defined on a sample
space. For example, in rolling two dice X might represent the sum of the
points on the two dice. Similarly, in taking samples of college students X
1
might represent the number of hours per week a student studies, or a stu-
dent’s GPA.
Random variables may be divided into two types: discrete random vari-
ables and continuous random variables. A discrete random variable is one
that can assume only a countable number of values. It is usually the result
of counting. A continuous random variable can assume any value in one or
more intervals on a line. It is usually the result of a measurement.
Example 28.1
State whether the random variables are discrete or continuous:
(a) The height of a student in your class.
(b) The number of left-handed students in your class.
Solution.
(a) The randon variable in this case is a result of measurement and so it is a
continuous random variable.
(b) The random variable takes whole positive integers as values and so is a
discrete random variable.
Two continuous random variables X and Y are said to be jointly con-
tinuous if there is a function p(x, y) that satisfies the following properties:
p(x, y) ≥ 0


−∞


−∞
p(x, y)dxdy = 1.
For any two events A and B we have
P(X ∈ A, Y ∈ B) =

B

A
p(x, y)dxdy.
In particular, if A is the closed interval [a, b] and B is the closed interval [c, d]
then
P(a ≤ X ≤ b, c ≤ Y ≤ d) =

d
c

b
a
p(x, y)dxdy.
The function p(x, y) is called the joint probability density function of
X and Y. If X and Y are discrete random variables then we call p(x, y) the
joint probability mass function. In this case, all the integrals above are
replaced by infinite double sums.
2
Example 28.2
Let p(x, y) = x + y on the unit square 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 and 0
elsewhere. Verify that p(x, y) is a joint density function.
Solution.
To show that p is a joint probability density function we must show that
p(x, y) ≥ 0 for all x and y and


−∞


−∞
p(x, y)dxdy = 1. Since x ≥ 0 and
y ≥ 0, we have p(x, y) = x +y ≥ 0. Furthermore,


−∞


−∞
(x +y))dxdy =

1
0

1
0
(x +y)dxdy
=

1
0
x
2
2
+xy

1
0
dy =

1
0

1
2
+y

dy
=
1
2
y +
1
2
y
2

1
0
= 1
Example 28.3
A supermarket has two express lines. Let X and Y denote the number of
customers in the first and second line at any given time. The joint probability
function of X and Y, p(x, y), is summarized by the following table
X\Y 0 1 2 3 p
X
(.)
0 0.1 0.2 0 0 0.3
1 0.2 0.25 0.05 0 0.5
2 0 0.05 0.05 0.025 0.125
3 0 0 0.025 0.05 0.075
p
Y
(.) 0.3 0.5 0.125 0.075 1
(a) Verify that p(x, y) is a joint probability mass function.
(b) Find the probability that more than two customers are in line.
(c) Find P(|X −Y | = 1), the probability that X and Y differ by exactly 1.
Solution.
(a) From the table we see that the sum of all the entries is 1.
(b) p(0, 3) + p(1, 2) + p(1, 3) + p(2, 1) + p(2, 2) + p(2, 3) + p(3, 0) + p(3, 1) +
p(3, 2) +p(3, 3) = 0.25.
(c) P(|X −Y | = 1) = p(0, 1) +p(1, 0) +p(1, 2) +p(2, 1) +p(2, 3) +p(3, 2) =
0.55.
3
Example 28.4
Let X and Y be continuous random variables with joint pdf
p(x, y) =

1
4
−1 ≤ x, y ≤ 1
0 Otherwise.
Determine P(X
2
+Y
2
< 1).
Solution.
P(X
2
+Y
2
< 1) =


0

1
0
1
4
rdrdθ =
π
4
Example 28.5
An insurance company insures a large number of drivers. Let X be the
random variable representing the company’s losses under collision insurance,
and let Y represent the company’s losses under liability insurance. X and Y
have joint density function
p(x, y) =

2x+2−y
4
0 < x < 1, 0 < y < 2
0 otherwise.
What is the probability that the total loss is greater than 1 ?
Solution.
We want to find P(X +Y > 1). The region representing X +Y > 1 is shown
in red.
Therefore
P(X +Y > 1) =

1
0

2
1−x

2x + 2 −y
4

dydx =

1
0

1
2
xy +
1
2
y −
y
2
8

2
1−x
dx
=

1
0

5
8
x
2
+
3
4
x +
1
8

dx =

5
24
x
3
+
3
8
x
2
+
1
8
x

1
0
=
17
24
4