Expectation of Real-Valued Discrete Random Variable/Lemma
Lemma
Let $\struct {\Omega, \Sigma, \Pr}$ be a probability space.
Let $X$ be a discrete real-valued random variable such that:
- $\map X \omega \ge 0$ for all $\omega \in \Omega$.
Then:
- $\ds \int X \rd \Pr = \sum_{x \in \Img X} x \map \Pr {X = x}$
Proof
Since $X$ is a discrete random variable, there exists a sequence $\sequence {x_i}_{i \in \N}$ of distinct real numbers such that:
- $\Img X = \set {x_i : i \in \N}$
For each $i$, let:
- $E_i = \set {X = x_i}$
Then, we can write:
- $\ds \map X \omega = \sum_{i \mathop = 1}^\infty x_i \map {\chi_{E_i} } \omega$
for each $\omega \in \Omega$.
Since $X$ is $\Sigma$-measurable, we have:
- $E_i$ is $\Sigma$-measurable for each $i$
from Measurable Functions Determine Measurable Sets.
For each $n \in \N$, define $X_n : \Omega \to \R$ by:
- $\ds \map {X_n} \omega = \sum_{i \mathop = 1}^n x_i \map {\chi_{E_i} } \omega$
for each $\omega \in \Omega$.
Then $X_n$ is a positive simple function for each $n$.
So, we have:
\(\ds \map {I_\Pr} {X_n}\) | \(=\) | \(\ds \sum_{i \mathop = 1}^n x_i \map \Pr {E_i}\) | Definition of Integral of Positive Simple Function | |||||||||||
\(\ds \) | \(=\) | \(\ds \sum_{i \mathop = 1}^n x_i \map \Pr {X = x}\) |
From Integral of Positive Measurable Function Extends Integral of Positive Simple Function, we have:
- $\ds \map {I_\Pr} {X_n} = \int X_n \rd \Pr$
That is:
- $\ds \int X_n \rd \Pr = \sum_{i \mathop = 1}^n x_i \map \Pr {X = x}$
We aim to apply the Monotone Convergence Theorem for Positive Simple Functions.
We have, from the definition of infinite series:
- $\ds \map X \omega = \lim_{n \mathop \to \infty} \sum_{i \mathop = 1}^n x_i \map {\chi_{E_i} } \omega = \lim_{n \mathop \to \infty} \map {X_n} \omega$
for each $\omega \in \Omega$, so:
- $X_n \to X$ pointwise.
Finally, for each $n \in \N$, we have:
\(\ds \map {X_{n + 1} } \omega - \map {X_n} \omega\) | \(=\) | \(\ds \sum_{i \mathop = 1}^{n + 1} x_i \map {\chi_{E_i} } \omega - \sum_{i \mathop = 1}^n x_i \map {\chi_{E_i} } \omega\) | ||||||||||||
\(\ds \) | \(=\) | \(\ds x_{n + 1} \map {\chi_{E_{n + 1} } } \omega\) | ||||||||||||
\(\ds \) | \(\ge\) | \(\ds 0\) |
for each $\omega \in \Omega$.
So:
- $\map {X_{n + 1} } \omega \ge \map {X_n} \omega$ for each $n \in \N$ and $\omega \in \Omega$.
So, from Monotone Convergence Theorem for Positive Simple Functions, we have:
\(\ds \int X \rd \Pr\) | \(=\) | \(\ds \lim_{n \mathop \to \infty} \int X_n \rd \Pr\) | ||||||||||||
\(\ds \) | \(=\) | \(\ds \lim_{n \mathop \to \infty} \sum_{i \mathop = 1}^n x_i \map \Pr {X = x}\) | ||||||||||||
\(\ds \) | \(=\) | \(\ds \sum_{i \mathop = 1}^\infty x_i \map \Pr {X = x}\) | Definition of Infinite Series |
$\blacksquare$