Let X be a real non-negative random variable on the probability space (Ω,F,P). Given that
$$
E[X]=\int_\Omega \int_0^\infty \chi_{t
E[X]\leq \sum_{n=0}^\infty \epsilon\mathbb{P}[X\geq n\epsilon]\leq E[X]+\epsilon.
$$
Tried to use some Fubini combined with rewriting stuff as countable sums (like P[X≥t]=P[⋃∞n=1{X≥nt}]) but I am a bit lost. Some intuition is also highly appreciated (I think I am beaten by the misunderstanding of notation).
Tuesday, February 5, 2019
probability - Expectation of a non-negative random variable
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