Consider the sample space and the partition Let be the field generated by this partition, and define
Question:
Consider the sample space and the partition
Let be the field generated by this partition, and define the mapping as follows:
This seemingly innocent mapping is not a random variable with respect to the field. In fact, we cannot assign the probability P(X=3), since
To be a random variable, the mapping should be constant for the three outcomes in {2,3,4}, which is an element of the field F. For instance, the random variable defined as
is a legitimate random variable.
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Related Book For
An Introduction To Financial Markets A Quantitative Approach
ISBN: 9781118014776
1st Edition
Authors: Paolo Brandimarte
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