Wednesday, 25 January 2017

measure theory - Suppose X,X are variables on different probability spaces with equal distributions. Do they have the same expectation?




Suppose X:ΩR is a random variable on (Ω,F,P) and X:ΩR is a random variable on (Ω,F,P). Assume that PX=PX (the distribution of X is equal to the distribution of X). Is it true that



ΩXdP=ΩXdP



I.e. is the P-expectation of X equal to the P-expectation pf X?



Intuitively, this ought to be true but how can I formally show this?



I tried the approach where you first show this for indicatorfunctions, then for positive functions etc but this doesn't work because we work on different probability spaces.




Maybe I can argue in the following way, if X0:



ΩXdP=0P(Xt)dt=0P(Xt)dt=ΩXdP



and in the general case, the result then follows if we can prove that X+=XI{X0} and (X)+=XI{X0} have equal distribution (and similarly for X and (X).



Any ideas?


Answer



EX=RxdPX(x) and EX=RxdPX(x), so the answer is YES. EX exists iff EX exist and they are equal when they exist.


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