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Integration in a Probability Space

  • Yuan Shih Chow
  • Henry Teicher
Chapter
  • 509 Downloads
Part of the Springer Texts in Statistics book series (STS)

Abstract

There are two basic avenues to integration. In the modern approach the integral is introduced first for simple functions—as a weighted average of the values of the function-and then defined for any nonnegative measurable function f as a limit of the integrals of simple nonnegative functions increasing to f Conceptually this is extremely simple, but a certain price is paid in terms of proofs. The alternative classical approach, while employing a less intuitive definition, achieves considerable simplicity in proofs of elementary properties.

Keywords

Random Walk Probability Space Simple Random Walk Monotone Convergence Theorem Markov Inequality 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag New York Inc. 1988

Authors and Affiliations

  • Yuan Shih Chow
    • 1
  • Henry Teicher
    • 2
  1. 1.Department of Mathematical StatisticsColumbia UniversityNew YorkUSA
  2. 2.Department of StatisticsRutgers UniversityNew BrunswickUSA

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