Thursday, June 6, 2019

measure theory - How to proof every r.v. in a probability space is discrete if and only if the pm. is atomic?

Definition 1: As for the definition atomic measure,
Given a measurable space (X,) and a measure μ on that space, a set AX in Σ is called an atom if and for any measurable subset
BA with μ(B)<μ(A) the set B has measure zero. Thus B either has measure μ(A) or has measure zero.



Definition 2:According to the definition of discrete random varaible:



A random variable X on (Ω,A,P) is discrete if a countable subset C of R, s.t. P(XC)=1 (According to the defintion of A course in probability theory, Kai Lai Chung)




I am not sure about the proof.



Though there exists some relationship between the probability measure and the random variable if they are discrete.



A d.f F is called discrete if it can be represented in the form
F(x)=+n=1pnδan(x)
with δan(x) is degenerate such that



\begin{equation}

\delta_{a_n}(x)=
\left\{
\begin{array}{lr}
0, & x 1, & x\geq a_n.\\
\end{array}\right.\end{equation}



1.We can show put C={a1,a2,an}if FX is discrete, then F(x)=+n=1pnδan(x) where +n=1pn=1



Thus PX(C)=PX(+n=1{an})=+n=1PX({an})=+n=1[FX(an)FX(an)]=+n=1pn=1




Thus, X is discrete r.v.




  1. If X is a discrete r.v., then Px(C)=1.



    Thus,FX(x)=P(X[,x])=P(X[,x]C)=an[,x]PX(an)=i=1PX(an)I{anx}=i=1PX({an})δan(x)=i=1pnδan(x)


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