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Let T be a non-negative integer-valued random variable with $\mathbb{E}(T) < \infty $. Prove that $\mathbb{E}(T) = \sum^\infty_{k=1}\mathbb{P}(T \geq k)$.

Had a few attempts, haven't really got anywhere. I'm wondering as I'm typing this if proof by induction is a good way to go.

Edit: One major thing I forgot to add, am I correct in thinking that also, $\mathbb{E}(T) = \sum^\infty_{k=1}k\mathbb{P}(T = k)$?

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  • $\begingroup$ This post itself could have served as a "mother post" to duplicates (it has ONE such existing link). The current choice of mother post has more duplicate-links (two) and and more other links. Please see the meta post on (abstract) duplicates. $\endgroup$ – Lee David Chung Lin Nov 13 '18 at 13:22
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$$T=\sum_{k=1}^\infty\mathbf 1_{T\geqslant k}=\sum_{k=1}^\infty k\cdot \mathbf 1_{T=k}$$

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