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单词 RelationBetweenAlmostSurelyAbsolutelyBoundedRandomVariablesAndTheirAbsoluteMoments
释义

relation between almost surely absolutely bounded random variables and their absolute moments


Let {Ω,E,P} a probability spaceMathworldPlanetmath and let X be a randomvariableMathworldPlanetmath; then, the following are equivalentMathworldPlanetmathPlanetmathPlanetmathPlanetmath:

1) Pr{|X|M}=1  i.e. X isabsolutely bounded almost surely;

2) E[|X|k]Mk       k1,kN

Proof.

1) 2)

Let’s define

F={ωΩ:|X(ω)|>M};

Then by hypothesisMathworldPlanetmath

Pr{Ω\\F}=1

and

Pr{F}=0.

We have:

E[|X|k]=Ω|X|k𝑑P
=Ω\\F|X|k𝑑P+F|X|k𝑑P
=Ω\\F|X|k𝑑P
Ω\\FMk𝑑P
=MkPr{Ω\\F}=Mk.

2) 1)

Let’s define

F={ωΩ:|X(ω)|>M}
Fn={ωΩ:|X(ω)|>M+1n} n1.

Then we have obviously FnFn+1 (in fact, if ωFn|X(ω)|>M+1n>M+1n+1ωFn+1) and F=n=1Fn (in fact, let ωF; let N=1|X(ω)|-M; then |X(ω)|>M+1N, that is ωFN); this means that

F=limnFn

in the meaning of sets sequencesMathworldPlanetmath convergence (http://planetmath.org/SequenceOfSetsConvergence).

So the continuity from below property (http://planetmath.org/PropertiesForMeasure) of probability can be applied:

Pr{F}=Pr{limnFn}=limnPr{Fn}.

Now, for any k1,

MkE[|X|k]
=Ω|X(ω)|k𝑑P
=Ω\\Fn|X(ω)|k𝑑P+Fn|X(ω)|k𝑑P
Fn|X(ω)|k𝑑P
Fn(M+1n)k𝑑P
=(M+1n)kPr{Fn}.

that is

Pr{Fn}(MM+1n)k for any k1

so that the only acceptable value for Pr{Fn} is

Pr{Fn}=0

whence the thesis.∎

Acknowledgements: due to helpful discussions with Mathprof.

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