Solution

ID: past-exam-of-the-probability-course-of-the-university-of-oxford/2015/2/b/iii/solution

For fixed , the support inequalities become . The marginal density is therefore
It is nonnegative and integrates to . Another interpretation is that sums independent exponential random variables of rates and , so it has a hypoexponential distribution. The mean is , which agrees with .

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