Question: Let . ;F; P/ be a probability space and An 2 F, n 1. Define and interpret a random variable X with E.X/ D

Let . ;F; P/ be a probability space and An 2 F, n  1. Define and interpret a random variable X with E.X/ D P

n1 P.An/. In particular, discuss the special case that the An are pairwise disjoint.

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