Abstract
In this section we revisit the familiar notion of mathematical expectation, but now we define it for general (not necessarily discrete) random variables. The notion of expectation is identical to the notion of the Lebesgue integral.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2012 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Koralov, L., Sinai, Y.G. (2012). Lebesgue Integral and Mathematical Expectation. In: Theory of Probability and Random Processes. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-68829-7_3
Download citation
DOI: https://doi.org/10.1007/978-3-540-68829-7_3
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-25484-3
Online ISBN: 978-3-540-68829-7
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)