Wednesday, 26 December 2018

probability - Expected value of non-negative bounded random variable

I have the random variable Y and it is such that 0Y1 I want to bound its expected value, given that I have a high probability bound:
P(Yx)g(x), can I say that:

E[Y]=10P(Yx)dx10g(x)dx?
I tried showing it but I am not really strong in measure theory and Fubini theorem:
10P(Yx)dx=10(yfY(z)dz)dy=10(z0fY(z)dy)dz=10zfY(z)dz=E[Y]
Is it correct?

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