Saturday, January 14, 2017

probability - Expectation of nonnegative Random Variable




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Can someone help me give me some pointers as to how to prove this relation?


Answer



Let p be the probability measure. We have that 0[1F(x)]dx=0Pr[X>x]dx=0[1X>xdp]dx using Fubini's theorem we have \int_{0}^{\infty}\left[\int1_{X>x}dp\right]dx=\int\left[\int_{0}^{\infty}1_{X>x}dx\right]dp=\int Xdp=E\left[X\right]


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