If X is an integrable r.v. and {An, n = 1, 2,....} are pairwise disjoint events, show
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Split X into X+ and X- and use Corollary 1 (ii) to the Lebesgue Monotone Convergence Theorem (Theorem 1 in Chapter 5).
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X dP ΣΑ;
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Indeed independent of n and integrable so that the Dominated Co...View the full answer
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Related Book For
An Introduction to Measure Theoretic Probability
ISBN: 978-0128000427
2nd edition
Authors: George G. Roussas
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