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ZixuanZhang
ZixuanZhang
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Random Variable

A random variable on a probability space is a function such that

Write and for .

Definition 3.1 (Random Variable)

Consider a probability space . A random variable is a function , satisfying that ,

We write and , .

Events expressed through X

The defining condition says exactly that every event of the form is assigned a probability, since contains it. More generally, for the notation

identifies a subset of the sample space, so statements such as or are ordinary probabilities of events.

Related

Stated in