Sunday, November 18, 2018

probability theory - Finite expectation of a random variable

X0 be a random variable defined on (Ω,F,P). Show that E[X]<Σn=1P(X>n)<.


I got the reverse direction but I am struggling with the "\implies" direction. So far, I have the following worked out:


\mathbb{E}[X]<\infty


\implies \int_0^\infty (1-F(x)) dx < \infty (where F is the distribution function of the random variable X)


\implies \int_0^\infty (1-P(X\leq x)) dx < \infty


\implies \int_0^\infty P(X>x) dx < \infty



Consider \int_0^\infty P(X>x) dx


= \Sigma_{n=1}^\infty \int_{n-1}^n P(X>x) dx


This is the point I am stuck at. Any help will be deeply appreciated!

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