3

3.1

Random variable.
Expectation. Independence

General definitions

Let the probability space (Q,;j/t, gJ be given. @il

(00, +(0) the (finite)
real line, 2l?* = [-00, +00] the extended real line, qjI = the Euclidean Borel
field on 91 1, JI3* = the extended Borel field. A set in 9(3* IS just a set in 0:'3
possibly enlarged by one or both points oo
DEFINITION OF A RANDOM VARIABLE.
A real, extended-valued random varIable is a function X whose domain is a set ~ in dr and whose range is
contained in ?J?* = [-00, +00] such that for each B in a'3*, we have

(1)

{w:X(w) E B} E ~ n~r

where ~ n .1fr is the trace of ;y, on ~. A complex-valued random variable is

a function on a set ~ in ;:'r to the complex plane whose real and imaginary
parts are both real, finite-valued random variables.
This definition in its generality is necessary for logical reasons in many
applications, but for a discussion of basic properties we may suppose ~ = Q
and that X is real andfinite-valued with probability one. This restricted meaning

3.1

GENERAL DEFINITIONS

35

of a "random variable", abbreviated as "r.v.", will be understood in the book

unless otherwise specified. The general case may be reduced to this one by
considering the trace of (Q,;jh ,q: on ~, or on the "domain of finiteness"
~o = {w: IX(w)1 < oo}, and taking real and imaginary parts.
Consider the "inverse mapping" X-I from gel to Q, defined (as usual)
as follows:
VA C ~I:X-I(A) = {w:X(w) E A}.
Condition (1) then states that X-I carries members of qjl onto members of ::7:
(2)

or in the briefest notation:

Such a function is said to be measurable (with respect to ~). Thus, an r.v. is

just a measurable function from Q to gel (or ge*).
The next proposition, a standard exercise on inverse mapping, is essential.
Theorem 3.1.1. For any functIOn X from n to 0'(1 (or 0'(*), not necessanly
an r.v., the inverse mapping X-I has the following properties:
X-I(A C )
X

Xl

(X-I (A)t.

(YAa) -Ux
a

(0 Aa )

-AX

1 (Aa),

1 (Aa).

where a ranges over an arbitrary index set, not necessarily countable.

Theorem 3.1.2. X is an r v if and only if for each real number x, or each
real number x in a dense subset of qzl, we have
{w: X(w)
PROOF.

(3 )

::s x}

E ~f

The preceding condition may be written as

'Ix: X-I (( -00, x]) E

;j.

Consider the collection ,(;j of all subsets 5 of 32 1 for which X-I (5) E :". From
Theorem 3.1.1 and the defining properties of the Borel field ,J/ , it follows that
if 5 E ,\1, then

36

RANDOM VARIABLE. EXPECTATION. INDEPENDENCE

Thus SC E sf and Uj S j E LQ/ and consequently LQ/ is a B.F. This B.F. contains
all intervals of the fonn (-00, x], which generate.':13 1 even if x is restricted to
a dense set, hence ,e/ ::) aJ I , which means that X-I (B) E ':!f for each B E ,-?J I .
Thus X is an r.v. by definition. This proves the "if' part of the theorem; the
"only if' part is trivial.
Since .:?P(.) is defined on
and will be written as

~:fr,

the probability of the set in (1) is defined

2P{X(w) E B}

or

,c(){X E B}.

The next theorem relates the p.m. qp to a p.m. on (~I, ~I) as discussed
in Sec. 2.2.

Theorem 3.1.3.

Each r.v. on the probability space (Q,;!ft, go) induces a

probability space (22[1,2(31,1-') by means of the following correspondence:
f.1;(B)

VB E Jljl:

(4)

.9'{X- 1(B

9'{X E B).

Clearly fl(E) > O. If the En's are disjoint sets in 273 1, then the
X-I (Bn)'s are disjoint by Theorem 3.1.1. Hence
PROOF.

Finally X

1 (?J?l)

n, hence

p,(fJ}?I) = 1. Thus p,

IS

a p.m.

The collection of sets {X 1(5), 5 c .1?1} is a B.P. for any function X. If

X is a r.v. then the collection {X-I (B), B E ~~I} is called the B.F. generated
by X. It is the smallest Borel subfield of !f which contains all sets of the form
{w: X(w) :s x}, where x E ::wI. Thus (4) is a convenient way of representing
the measure ?/J when it is restricted to this subfield; symbolically we may
write it as follows:
p, = :?/> 0 X- I .
This p, is called the "probability distribution measure" or p.m. of X, and its
associated d.f. F according to Theorem 2.2.4 will be called the d.f. of X.