X≥0 be a random variable defined on (Ω,F,P). Show that E[X]<∞⟺Σ∞n=1P(X>n)<∞.
I got the reverse direction but I am struggling with the "⟹" direction. So far, I have the following worked out:
E[X]<∞
⟹∫∞0(1−F(x))dx<∞ (where F is the distribution function of the random variable X)
⟹∫∞0(1−P(X≤x))dx<∞
⟹∫∞0P(X>x)dx<∞
Consider ∫∞0P(X>x)dx
=Σ∞n=1∫nn−1P(X>x)dx
This is the point I am stuck at. Any help will be deeply appreciated!
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