Expected value

In probability theory, the expected value (also called expectation, expectancy, expectation operator,
mathematical expectation, mean, average, or first moment) is a generalization of the weighted average.
Informally, the expected value is the arithmetic mean of a large number of independently selected outcomes
of a random variable.

The expected value of a random variable with a finite number of outcomes is a weighted average of all
possible outcomes. In the case of a continuum of possible outcomes, the expectation is defined by
integration. In the axiomatic foundation for probability provided by measure theory, the expectation is given
by Lebesgue integration.

The expected value of a random variable X is often denoted by E(X), E[X], or EX, with E also often
stylized as E or [1][2][3]

History
The idea of the expected value originated in the middle of the 17th century from the study of the so-called
problem of points, which seeks to divide the stakes in a fair way between two players, who have to end
their game before it is properly finished.[4] This problem had been debated for centuries. Many conflicting
proposals and solutions had been suggested over the years when it was posed to Blaise Pascal by French
writer and amateur mathematician Chevalier de Méré in 1654. Méré claimed that this problem couldn't be
solved and that it showed just how flawed mathematics was when it came to its application to the real
world. Pascal, being a mathematician, was provoked and determined to solve the problem once and for all.

He began to discuss the problem in the famous series of letters to Pierre de Fermat. Soon enough, they both
independently came up with a solution. They solved the problem in different computational ways, but their
results were identical because their computations were based on the same fundamental principle. The
principle is that the value of a future gain should be directly proportional to the chance of getting it. This
principle seemed to have come naturally to both of them. They were very pleased by the fact that they had
found essentially the same solution, and this in turn made them absolutely convinced that they had solved
the problem conclusively; however, they did not publish their findings. They only informed a small circle of
mutual scientific friends in Paris about it.[5]

In Dutch mathematician Christiaan Huygens' book, he considered the problem of points, and presented a
solution based on the same principle as the solutions of Pascal and Fermat. Huygens published his treatise
in 1657, (see Huygens (1657)) "De ratiociniis in ludo aleæ" on probability theory just after visiting Paris.
The book extended the concept of expectation by adding rules for how to calculate expectations in more
complicated situations than the original problem (e.g., for three or more players), and can be seen as the first
successful attempt at laying down the foundations of the theory of probability.

In the foreword to his treatise, Huygens wrote:

It should be said, also, that for some time some of the best mathematicians of France have
occupied themselves with this kind of calculus so that no one should attribute to me the honour
of the first invention. This does not belong to me. But these savants, although they put each
other to the test by proposing to each other many questions difficult to solve, have hidden their
 methods. I have had therefore to examine and go deeply for myself into this matter by
beginning with the elements, and it is impossible for me for this reason to affirm that I have
even started from the same principle. But finally I have found that my answers in many cases
do not differ from theirs.

— Edwards (2002)

During his visit to France in 1655, Huygens learned about de Méré's Problem. From his correspondence
with Carcavine a year later (in 1656), he realized his method was essentially the same as Pascal's.
Therefore, he knew about Pascal's priority in this subject before his book went to press in 1657.[6]

In the mid-nineteenth century, Pafnuty Chebyshev became the first person to think systematically in terms
of the expectations of random variables.[7]

Etymology

Neither Pascal nor Huygens used the term "expectation" in its modern sense. In particular, Huygens
writes:[8]

That any one Chance or Expectation to win any thing is worth just such a Sum, as wou'd
procure in the same Chance and Expectation at a fair Lay. ... If I expect a or b, and have an
equal chance of gaining them, my Expectation is worth (a+b)/2.

More than a hundred years later, in 1814, Pierre-Simon Laplace published his tract "Théorie analytique des
probabilités", where the concept of expected value was defined explicitly:[9]

… this advantage in the theory of chance is the product of the sum hoped for by the probability
of obtaining it; it is the partial sum which ought to result when we do not wish to run the risks
of the event in supposing that the division is made proportional to the probabilities. This
division is the only equitable one when all strange circumstances are eliminated; because an
equal degree of probability gives an equal right for the sum hoped for. We will call this
advantage mathematical hope.

Notations
The use of the letter E to denote "expected value" goes back to W. A. Whitworth in 1901.[10] The symbol
has become popular since then for English writers. In German, E stands for Erwartungswert, in Spanish
for esperanza matemática, and in French for espérance mathématique.[11]

When "E" is used to denote "expected value", authors use a variety of stylizations: the expectation operator
can be stylized as E (upright), E (italic), or (in blackboard bold), while a variety of bracket notations
(such as E(X), E[X], and EX) are all used.
Another popular notation is μX, whereas ⟨X⟩, ⟨X⟩av, and are commonly used in physics,[12] and
M(X) in Russian-language literature.

Definition
As discussed above, there are several context-dependent ways of defining the expected value. The simplest
and original definition deals with the case of finitely many possible outcomes, such as in the flip of a coin.
With the theory of infinite series, this can be extended to the case of countably many possible outcomes. It
is also very common to consider the distinct case of random variables dictated by (piecewise-)continuous
probability density functions, as these arise in many natural contexts. All of these specific definitions may
be viewed as special cases of the general definition based upon the mathematical tools of measure theory
and Lebesgue integration, which provide these different contexts with an axiomatic foundation and
common language.

Any definition of expected value may be extended to define an expected value of a multidimensional
random variable, i.e. a random vector X. It is defined component by component, as E[X]i = E[Xi].
Similarly, one may define the expected value of a random matrix X with components Xij by
E[X]ij = E[Xij].

Random variables with finitely many outcomes

Consider a random variable X with a finite list x1, ..., xk of possible outcomes, each of which
(respectively) has probability p 1, ..., p k of occurring. The expectation of X is defined as[13]

Since the probabilities must satisfy p 1 + ⋅⋅⋅ + p k = 1 , it is natural to interpret E[X] as a weighted
average of the xi values, with weights given by their probabilities p i.

In the special case that all possible outcomes are equiprobable (that is, p 1 = ⋅⋅⋅ = p k), the weighted
average is given by the standard average. In the general case, the expected value takes into account the fact
that some outcomes are more likely than others.

Examples
Let represent the outcome of a roll of a fair six-sided
die. More specifically, will be the number of pips
showing on the top face of the die after the toss. The
possible values for are 1, 2, 3, 4, 5, and 6, all of which
are equally likely with a probability of 16 . The expectation
of is

An illustration of the convergence of

sequence averages of rolls of a die
to the expected value of 3.5 as the
number of rolls (trials) grows
 If one rolls the die times and computes the average (arithmetic mean) of the results, then
as grows, the average will almost surely converge to the expected value, a fact known
as the strong law of large numbers.

The roulette game consists of a small ball and a wheel with 38 numbered pockets around
the edge. As the wheel is spun, the ball bounces around randomly until it settles down in
one of the pockets. Suppose random variable represents the (monetary) outcome of a $1
1
bet on a single number ("straight up" bet). If the bet wins (which happens with probability 38
in American roulette), the payoff is $35; otherwise the player loses the bet. The expected
profit from such a bet will be

1
That is, the expected value to be won from a $1 bet is −$ 19 . Thus, in 190 bets, the net loss
will probably be about $10.

Random variables with countably many outcomes

Informally, the expectation of a random variable with a countable set of possible outcomes is defined
analogously as the weighted average of all possible outcomes, where the weights are given by the
probabilities of realizing each given value. This is to say that

where x1, x2, ... are the possible outcomes of the random variable X and p 1, p 2, ... are their
corresponding probabilities. In many non-mathematical textbooks, this is presented as the full definition of
expected values in this context.[14]

However, there are some subtleties with infinite summation, so the above formula is not suitable as a
mathematical definition. In particular, the Riemann series theorem of mathematical analysis illustrates that
the value of certain infinite sums involving positive and negative summands depends on the order in which
the summands are given. Since the outcomes of a random variable have no naturally given order, this
creates a difficulty in defining expected value precisely.

For this reason, many mathematical textbooks only consider the case that the infinite sum given above
converges absolutely, which implies that the infinite sum is a finite number independent of the ordering of
summands.[15] In the alternative case that the infinite sum does not converge absolutely, one says the
random variable does not have finite expectation.[15]

Examples

Suppose and for where is the scaling factor which

makes the probabilities sum to 1. Then, using the direct definition for non-negative random
variables, we have
Random variables with density

Now consider a random variable X which has a probability density function given by a function f on the
real number line. This means that the probability of X taking on a value in any given open interval is given
by the integral of f over that interval. The expectation of X is then given by the integral[16]

A general and mathematically precise formulation of this definition uses measure theory and Lebesgue
integration, and the corresponding theory of absolutely continuous random variables is described in the
next section. The density functions of many common distributions are piecewise continuous, and as such
the theory is often developed in this restricted setting.[17] For such functions, it is sufficient to only consider
the standard Riemann integration. Sometimes continuous random variables are defined as those
corresponding to this special class of densities, although the term is used differently by various authors.

Analogously to the countably-infinite case above, there are subtleties with this expression due to the infinite
region of integration. Such subtleties can be seen concretely if the distribution of X is given by the Cauchy
distribution Cauchy(0, π), so that f(x) = (x2 + π2)−1. It is straightforward to compute in this case that

The limit of this expression as a → −∞ and b → ∞ does not exist: if the limits are taken so that a = −b ,
then the limit is zero, while if the constraint 2a = −b is taken, then the limit is ln(2).

To avoid such ambiguities, in mathematical textbooks it is common to require that the given integral
converges absolutely, with E[X] left undefined otherwise.[18] However, measure-theoretic notions as given
below can be used to give a systematic definition of E[X] for more general random variables X.

Arbitrary real-valued random variables

All definitions of the expected value may be expressed in the language of measure theory. In general, if X
is a real-valued random variable defined on a probability space (Ω, Σ, P), then the expected value of X,
denoted by E[X], is defined as the Lebesgue integral[19]

Despite the newly abstract situation, this definition is extremely similar in nature to the very simplest
definition of expected values, given above, as certain weighted averages. This is because, in measure
theory, the value of the Lebesgue integral of X is defined via weighted averages of approximations of X
which take on finitely many values.[20] Moreover, if given a random variable with finitely or countably
many possible values, the Lebesgue theory of expectation is identical with the summation formulas given
above. However, the Lebesgue theory clarifies the scope of the theory of probability density functions. A
random variable X is said to be absolutely continuous if any of the following conditions are satisfied:
 there is a nonnegative measurable function f on the real line such that

for any Borel set A, in which the integral is Lebesgue.

the cumulative distribution function of X is absolutely continuous.

for any Borel set A of real numbers with Lebesgue measure equal to zero, the probability of
X being valued in A is also equal to zero
for any positive number ε there is a positive number δ such that: if A is a Borel set with
Lebesgue measure less than δ, then the probability of X being valued in A is less than ε.

These conditions are all equivalent, although this is nontrivial to establish.[21] In this definition, f is called
the probability density function of X (relative to Lebesgue measure). According to the change-of-variables
formula for Lebesgue integration,[22] combined with the law of the unconscious statistician,[23] it follows
that

for any absolutely continuous random variable X. The above discussion of continuous random variables is
thus a special case of the general Lebesgue theory, due to the fact that every piecewise-continuous function
is measurable.

Infinite expected values

Expected values as defined above are automatically finite numbers. However, in many cases it is
fundamental to be able to consider expected values of ±∞ . This is intuitive, for example, in the case of the
St. Petersburg paradox, in which one considers a random variable with possible outcomes xi = 2 i, with
associated probabilities p i = 2 −i, for i ranging over all positive integers. According to the summation
formula in the case of random variables with countably many outcomes, one has

It is natural to say that the expected value equals +∞ .

There is a rigorous mathematical theory underlying such ideas, which is often taken as part of the definition
of the Lebesgue integral.[20] The first fundamental observation is that, whichever of the above definitions
are followed, any nonnegative random variable whatsoever can be given an unambiguous expected value;
whenever absolute convergence fails, then the expected value can be defined as +∞ . The second
fundamental observation is that any random variable can be written as the difference of two nonnegative
random variables. Given a random variable X, one defines the positive and negative parts by
X + = max(X, 0) and X − = −min(X, 0). These are nonnegative random variables, and it can be
directly checked that X = X + − X −. Since E[X +] and E[X −] are both then defined as either
nonnegative numbers or +∞ , it is then natural to define:
According to this definition, E[X] exists and is finite if and only if E[X +] and E[X −] are both finite. Due
to the formula |X| = X + + X −, this is the case if and only if E|X| is finite, and this is equivalent to the
absolute convergence conditions in the definitions above. As such, the present considerations do not define
finite expected values in any cases not previously considered; they are only useful for infinite expectations.

In the case of the St. Petersburg paradox, one has X − = 0 and so E[X] = +∞ as desired.
Suppose the random variable X takes values 1, −2,3, −4, ... with respective probabilities
6π−2, 6(2π)−2, 6(3π)−2, 6(4π)−2, .... Then it follows that X + takes value 2k−1 with
probability 6((2k−1)π)−2 for each positive integer k, and takes value 0 with remaining
probability. Similarly, X − takes value 2k with probability 6(2kπ)−2 for each positive integer k
and takes value 0 with remaining probability. Using the definition for non-negative random
variables, one can show that both E[X +] = ∞ and E[X −] = ∞ (see Harmonic series).
Hence, in this case the expectation of X is undefined.
Similarly, the Cauchy distribution, as discussed above, has undefined expectation.

Expected values of common distributions

The following table gives the expected values of some commonly occurring probability distributions. The
third column gives the expected values both in the form immediately given by the definition, as well as in
the simplified form obtained by computation therefrom. The details of these computations, which are not
always straightforward, can be found in the indicated references.
 Distribution Notation Mean E(X)

Bernoulli[24]

Binomial[25]

Poisson[26]

Geometric[27]

Uniform[28]

Exponential[29]

Normal[30]

Standard Normal[31]

Pareto[32]

Cauchy[33] is undefined

Properties
The basic properties below (and their names in bold) replicate or follow immediately from those of
Lebesgue integral. Note that the letters "a.s." stand for "almost surely"—a central property of the Lebesgue
integral. Basically, one says that an inequality like is true almost surely, when the probability
measure attributes zero-mass to the complementary event

Non-negativity: If (a.s.), then

Linearity of expectation:[34] The expected value operator (or expectation operator) is

linear in the sense that, for any random variables and and a constant

whenever the right-hand side is well-defined. By induction, this means that the expected
value of the sum of any finite number of random variables is the sum of the expected
values of the individual random variables, and the expected value scales linearly with a
multiplicative constant. Symbolically, for random variables and constants
we have If we think of the set of random
 variables with finite expected value as forming a vector space, then the linearity of
expectation implies that the expected value is a linear form on this vector space.

Monotonicity: If (a.s.), and both and exist, then

Proof follows from the linearity and the non-negativity property for since
(a.s.).
Non-degeneracy: If then (a.s.).
If (a.s.), then In other words, if X and Y are random variables that take
different values with probability zero, then the expectation of X will equal the expectation of
Y.
If (a.s.) for some real number c, then In particular, for a random variable
with well-defined expectation, A well defined expectation implies that there
is one number, or rather, one constant that defines the expected value. Thus follows that the
expectation of this constant is just the original expected value.
As a consequence of the formula |X| = X + + X − as discussed above, together with the
triangle inequality, it follows that for any random variable with well-defined expectation,
one has
Let 1 A denote the indicator function of an event A, then E[1 A] is given by the probability of
A. This is nothing but a different way of stating the expectation of a Bernoulli random
variable, as calculated in the table above.
Formulas in terms of CDF: If is the cumulative distribution function of a random
variable X, then

where the values on both sides are well defined or not well defined simultaneously, and
the integral is taken in the sense of Lebesgue-Stieltjes. As a consequence of integration
by parts as applied to this representation of E[X], it can be proved that

with the integrals taken in the sense of Lebesgue.[35] As a special case, for any random
variable X valued in the nonnegative integers {0, 1, 2, 3, ...}, one has

where P denotes the underlying probability measure.

Non-multiplicativity: In general, the expected value is not multiplicative, i.e. is not

necessarily equal to If and are independent, then one can show that
If the random variables are dependent, then generally
although in special cases of dependency the equality may hold.
Law of the unconscious statistician: The expected value of a measurable function of
given that has a probability density function is given by the inner product of
and :[34]
 This formula also holds in multidimensional case, when is a function of several random
variables, and is their joint density.[34][36]

Inequalities

Concentration inequalities control the likelihood of a random variable taking on large values. Markov's
inequality is among the best-known and simplest to prove: for a nonnegative random variable X and any
positive number a , it states that[37]

If X is any random variable with finite expectation, then Markov's inequality may be applied to the random
variable |X−E[X]|2 to obtain Chebyshev's inequality

where Var is the variance.[37] These inequalities are significant for their nearly complete lack of
conditional assumptions. For example, for any random variable with finite expectation, the Chebyshev
inequality implies that there is at least a 75% probability of an outcome being within two standard
deviations of the expected value. However, in special cases the Markov and Chebyshev inequalities often
give much weaker information than is otherwise available. For example, in the case of an unweighted dice,
Chebyshev's inequality says that odds of rolling between 1 and 6 is at least 53%; in reality, the odds are of
course 100%.[38] The Kolmogorov inequality extends the Chebyshev inequality to the context of sums of
random variables.[39]

The following three inequalities are of fundamental importance in the field of mathematical analysis and its
applications to probability theory.

Jensen's inequality: Let f: ℝ → ℝ be a convex function and X a random variable with finite
expectation. Then[40]

Part of the assertion is that the negative part of f(X) has finite expectation, so that the right-
hand side is well-defined (possibly infinite). Convexity of f can be phrased as saying that
the output of the weighted average of two inputs under-estimates the same weighted
average of the two outputs; Jensen's inequality extends this to the setting of completely
general weighted averages, as represented by the expectation. In the special case that
f(x) = |x|t/s for positive numbers s < t, one obtains the Lyapunov inequality[41]
 This can also be proved by the Hölder inequality.[40] In measure theory, this is particularly
notable for proving the inclusion Ls ⊂ Lt of Lp spaces, in the special case of probability
spaces.

Hölder's inequality: if p > 1 and q > 1 are numbers satisfying p −1 + q −1 = 1 , then

for any random variables X and Y .[40] The special case of p = q = 2 is called the
Cauchy–Schwarz inequality, and is particularly well-known.[40]

Minkowski inequality: given any number p ≥ 1 , for any random variables X and Y with E|X|p
and E|Y|p both finite, it follows that E|X + Y|p is also finite and[42]

The Hölder and Minkowski inequalities can be extended to general measure spaces, and are often given in
that context. By contrast, the Jensen inequality is special to the case of probability spaces.

Expectations under convergence of random variables

In general, it is not the case that even if pointwise. Thus, one cannot
interchange limits and expectation, without additional conditions on the random variables. To see this, let
be a random variable distributed uniformly on For define a sequence of random variables

with being the indicator function of the event Then, it follows that pointwise. But,
for each Hence,

Analogously, for general sequence of random variables the expected value operator is not
-additive, i.e.

An example is easily obtained by setting and for where is as in

the previous example.

A number of convergence results specify exact conditions which allow one to interchange limits and
expectations, as specified below.

Monotone convergence theorem: Let be a sequence of random variables, with

(a.s) for each Furthermore, let pointwise. Then, the
monotone convergence theorem states that
 Using the monotone convergence theorem, one can show that expectation indeed satisfies
countable additivity for non-negative random variables. In particular, let be non-
negative random variables. It follows from monotone convergence theorem that

Fatou's lemma: Let be a sequence of non-negative random variables.

Fatou's lemma states that

Corollary. Let with for all If (a.s), then

Proof is by observing that
Dominated convergence theorem: Let
pointwise (a.s.),
dominated convergence theorem,
;
(a.s.) and applying Fatou's lemma.
be a sequence of random variables. If
(a.s.), and Then, according to the

Uniform integrability: In some cases, the equality holds when the

sequence is uniformly integrable.

Relationship with characteristic function

The probability density function of a scalar random variable is related to its characteristic function
by the inversion formula:

For the expected value of (where is a Borel function), we can use this inversion formula
to obtain

If is finite, changing the order of integration, we get, in accordance with Fubini–Tonelli theorem,

where
is the Fourier transform of The expression for also follows directly from the Plancherel
theorem.

Uses and applications

The expectation of a random variable plays an important role in a variety of contexts.

In statistics, where one seeks estimates for unknown parameters based on available data gained from
samples, the sample mean serves as an estimate for the expectation, and is itself a random variable. In such
settings, the sample mean is considered to meet the desirable criterion for a "good" estimator in being
unbiased; that is, the expected value of the estimate is equal to the true value of the underlying parameter.

For a different example, in decision theory, an agent making an optimal choice in the context of incomplete
information is often assumed to maximize the expected value of their utility function.

It is possible to construct an expected value equal to the probability of an event by taking the expectation of
an indicator function that is one if the event has occurred and zero otherwise. This relationship can be used
to translate properties of expected values into properties of probabilities, e.g. using the law of large numbers
to justify estimating probabilities by frequencies.

The expected values of the powers of X are called the moments of X; the moments about the mean of X are
expected values of powers of X − E[X]. The moments of some random variables can be used to specify
their distributions, via their moment generating functions.

To empirically estimate the expected value of a random variable, one repeatedly measures observations of
the variable and computes the arithmetic mean of the results. If the expected value exists, this procedure
estimates the true expected value in an unbiased manner and has the property of minimizing the sum of the
squares of the residuals (the sum of the squared differences between the observations and the estimate). The
law of large numbers demonstrates (under fairly mild conditions) that, as the size of the sample gets larger,
the variance of this estimate gets smaller.

This property is often exploited in a wide variety of applications, including general problems of statistical
estimation and machine learning, to estimate (probabilistic) quantities of interest via Monte Carlo methods,
since most quantities of interest can be written in terms of expectation, e.g. where
is the indicator function of the set

In classical mechanics, the center of mass is an analogous concept

to expectation. For example, suppose X is a discrete random
variable with values xi and corresponding probabilities pi. Now
consider a weightless rod on which are placed weights, at locations
xi along the rod and having masses pi (whose sum is one). The
point at which the rod balances is E[X].

Expected values can also be used to compute the variance, by

means of the computational formula for the variance The mass of probability distribution
is balanced at the expected value,
here a Beta(α,β) distribution with
expected value α/(α+β).
A very important application of the expectation value is in the field
of quantum mechanics. The expectation value of a quantum
mechanical operator operating on a quantum state vector is written as The
uncertainty in can be calculated by the formula .

See also
Central tendency
Conditional expectation
Expectation (epistemic)
Law of total expectation – the expected value of the conditional expected value of X given Y
is the same as the expected value of X
Nonlinear expectation – a generalization of the expected value
Population mean
Predicted value
Wald's equation – an equation for calculating the expected value of a random number of
random variables

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35. Feller 1971, Section V.6.
36. Papoulis & Pillai 2002, Section 6-4.
37. Feller 1968, Section IX.6; Feller 1971, Section V.7; Papoulis & Pillai 2002, Section 5-4;
Ross 2019, Section 2.8.
38. Feller 1968, Section IX.6.
39. Feller 1968, Section IX.7.
40. Feller 1971, Section V.8.
41. Billingsley 1995, pp. 81, 277.
42. Billingsley 1995, Section 19.

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