Tagged Questions

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Why is $fg$ integrable w.r.t. a probability measure if $f,g$ are Lebesgue integrable?

In one of the proofs, my text mentions that if $f,g$ are Lebesgue integrable then $fg$ is integrable with respect to a probability measure. I guess I have missed something, since it doesn't look ...
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Representation of Stochastic Integrals as Lebesgue/Bochner Integrals

Just as the Riemannâ€“Stieltjes integral can be equivalently defined as a Lebesgue integral with the corresponding Lebesgueâ€“Stieltjes measure, I am looking for the corresponding results for the ...
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Convergence almost sure pointless?

A very common type of convergence in probability theory is 'almost sure convergence'. I don't understand why this type is used at all. In principle, we should always be able to substitute it by a ...
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Integrate over different measures

In Probability theory the expected value of a random variables $X : \Omega \rightarrow \mathbb{R}$ is defined as $E(X) = \int_\Omega X dP$ Now, if $\Omega \subset \mathbb{R}$ and has a density ...
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Not measurable function whose module is measurable

I read through my notes that is trivial to find a not measurable function $f$ whose module $|f|$ is measurable. However I don't know how to provide such an example.
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Right-continuity of functions associated to measures

I would like to show that it's possible to associate to a measure a monotone increasing right-continuous function s.t.: $\mu(\left(a,b\right])=F(b)-F(a)$. How can I prove that a function like ...
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A basic question on integration [closed]

$x^{k}{\rm e}^{-x^{2}}$ decreases to zero "exponentially" when $x \to \pm \infty$, $\int_{\mathbb R}{\rm f}\left(x\right)\,{\rm d}x < \infty$. Which theorem is being used here ?
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Integrate function with image $\mathbb{R}^n$

I know that for any measure space $(\Omega,\Sigma,\mu)$ and any $\Sigma$-borel-measurble function $f\colon \Omega \to \mathbb{R}$ the integral $$\int_\Omega |f(x)| \, d\mu(x)$$ is well definied. I ...
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Sufficient and necessary condition for Lebesgue integrability of a random variable

Could anyone give me a hand with the following problem? Let $f$ be a random variable over a probability space $(\Omega,A,\mathbb P)$. Show that $f$ is integrable $\iff$ ...
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Why is expectation defined by $\int xf(x)dx$?

I recently found out that the expectation of a random variable $X$ in a probability space $(\Omega, \mathcal F, \mathbb P)$, $\mathbb E(X)$, is just the term used in probability theory for the ...
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Integral of Schwartz function over probability measure

Let $X$ be a set, $\mathcal F$ a $\sigma$-field of subsets of $X$, and $\mu$ a probability measure on $X$. Given random variables $f,g\colon X\rightarrow\mathbb{R}$ such that ...
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Integral of exponent of random variable is continuous

Let $X$ be a set, $F$ a $\sigma$-field of subsets of $X$, and $\mu$ a probability measure on $X$. Given a random variable $f:X\rightarrow\mathbb{R}$, define $$\chi_f(t)=\int_Xe^{itf}d\mu$$ Show ...
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Need help badly: n-dimensional Lebesgue measure of a hyperplane is zero.

Let $\alpha \in \mathbb{R}$, $a \neq 0$, and $\mu \in \mathbb{R}^{n}$. Let $H$ be the hyperplane in $R^{n}$ given by $h = \{ x \in \mathbb{R}^{n} : \langle x-\mu , a \rangle = 0 \}$. Show that ...
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$L^{p}$ functions from Rudin Exercises 3.5
I am attempting a question from Rudin's "Real and Complex Analysis" Chapter 3 question 5. I shall summarise the question as below: Suppose that $f$ is a complex measurable function on $X$, $\mu$ a ...