Abstract
Let (ω, A, P) be a probability space. We want to define the expectation, or what is equivalent, the “integral”, of general random variables. We have of course already done this for random variables defined on a countable space ω. The general case (for arbitrary ω) is more delicate.
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© 2004 Springer-Verlag Berlin Heidelberg
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Jacod, J., Protter, P. (2004). Integration with Respect to a Probability Measure. In: Probability Essentials. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-55682-1_9
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DOI: https://doi.org/10.1007/978-3-642-55682-1_9
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-43871-7
Online ISBN: 978-3-642-55682-1
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