Thursday, 20 October 2016

probability - For all non-negative random variables, why is X=int+infty0mathbf1Xgeqt,mathrmdt true?



I am wondering why this equation is necessarily true for all non-negative random variables:



X=+01Xtdt



What is confusing me is that It appears that the indicator function only spits out a value of 1 and that I am not seeing the connection here and how the integral over the indicator function makes it X. Thanks!



Answer



I'm not seeing why you would be confused unless you are trying to integrate with respect to X instead of t.



$$\int\limits_{0}^\infty\mathbf 1_{X>t}\operatorname d t~=~\int\limits_{0}^\infty\mathbf 1_{t

Which is of course X when X>0


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