Saturday, 23 January 2016

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 "" direction. So far, I have the following worked out:



E[X]<



0(1F(x))dx< (where F is the distribution function of the random variable X)



0(1P(Xx))dx<



0P(X>x)dx<




Consider 0P(X>x)dx



=Σn=1nn1P(X>x)dx



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

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