A Remark on the Alternative Expectation Formula

摘要

Students in their first course in probability will often see the expectation formula for nonnegative continuous random variables in terms of the survival function. The traditional approach for deriving this formula (using double integrals) is well-received by students. Some students tend to approach this using integration by parts, but often get stuck. Most standard textbooks do not elaborate on this alternative approach. We present a rigorous derivation here. We hope that students and instructors of the first course in probability will find this short note helpful.