Tuesday, February 5, 2019

probability - Expectation of a non-negative random variable

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

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