Finite expectation

1. Aug 7, 2009

St41n

If i know that Pr(X_t>b)=0, where X_t>0 and b is positive finite, then should the expectation of X_t be finite? Is there any case where it is infinite?

Last edited: Aug 7, 2009
2. Aug 7, 2009

mathman

Yes. Proof is trival. 0<=X _t <=b implies E(X_t)<=b.