- #1
kingwinner
- 1,270
- 0
Axioms of expectation:
1. X>0 => E(X)>0
2. E(1)=1
3. E(aX+bY) = aE(X) + bE(Y)
4. If X_n is a nondecreasing sequence of numbers and lim(X_n) = X, then E(X)=lim E(X_n) [montone convergence theorem]
Definition: P(A)=E[I(A)]
Using the above, prove that if X=0 almost surely [i.e. P(X=0)=1 ], then E(X)=0.
Proof:
X=0 almost surely <=> |X|=0 almost surely
[note: I is the indicator/dummy variable
I(A)=1 if event A occurs
I(A)=0 otherwise]
|X| = |X| I(|X|=0) + |X| I(|X|>0)
=> E(|X|) = E(0) + E[|X| I(|X|>0)]
=E(0*1) + E[|X| I(|X|>0)]
=0E(1) + E[|X| I(|X|>0)] (axiom 3)
=0 + E[|X| I(|X|>0)] (axiom 2)
=E[|X| I(|X|>0)]
=E[lim |X| * I(0<|X|<N)] (lim here means the limit as N->∞)
=lim E[|X| * I(0<|X|<N)] (axiom 4)
=lim E[N * I(0<|X|<N)]
=lim N * E[I(0<|X|<N)]
=lim N * P(0<|X|<N) (by definition)
=lim (0) since P(X=0)=1 => P(0<|X|<N)=0
=0
=>E(X)=0
=======================================
Now, I don't understand the parts in red.
1. We have |X| I(|X|=0), taking the expected value it becomes E(0), how come?? I don't understand why E[|X| I(|X|=0)] = E(0).
2. lim E[|X| * I(0<|X|<N)] = lim E[N * I(0<|X|<N)], why??
Thanks for explaining!
1. X>0 => E(X)>0
2. E(1)=1
3. E(aX+bY) = aE(X) + bE(Y)
4. If X_n is a nondecreasing sequence of numbers and lim(X_n) = X, then E(X)=lim E(X_n) [montone convergence theorem]
Definition: P(A)=E[I(A)]
Using the above, prove that if X=0 almost surely [i.e. P(X=0)=1 ], then E(X)=0.
Proof:
X=0 almost surely <=> |X|=0 almost surely
[note: I is the indicator/dummy variable
I(A)=1 if event A occurs
I(A)=0 otherwise]
|X| = |X| I(|X|=0) + |X| I(|X|>0)
=> E(|X|) = E(0) + E[|X| I(|X|>0)]
=E(0*1) + E[|X| I(|X|>0)]
=0E(1) + E[|X| I(|X|>0)] (axiom 3)
=0 + E[|X| I(|X|>0)] (axiom 2)
=E[|X| I(|X|>0)]
=E[lim |X| * I(0<|X|<N)] (lim here means the limit as N->∞)
=lim E[|X| * I(0<|X|<N)] (axiom 4)
=lim E[N * I(0<|X|<N)]
=lim N * E[I(0<|X|<N)]
=lim N * P(0<|X|<N) (by definition)
=lim (0) since P(X=0)=1 => P(0<|X|<N)=0
=0
=>E(X)=0
=======================================
Now, I don't understand the parts in red.
1. We have |X| I(|X|=0), taking the expected value it becomes E(0), how come?? I don't understand why E[|X| I(|X|=0)] = E(0).
2. lim E[|X| * I(0<|X|<N)] = lim E[N * I(0<|X|<N)], why??
Thanks for explaining!
Last edited: