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Questions related to various forms of integration including the Riemann integral, Lebesgue integral, Riemann–Stieltjes integral, double integrals, line integrals, contour integrals, surface integrals, integrals of differential forms, ...
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Random variable as an integral of an indicator function
My thinking is that for a probability space $(\Omega, F, \mu)$, $\{X > t\} \in F \implies \int_\Omega I_{\{X > t\}}\mathrm{d}\mu = \mu(\{X > t\})$ but it's the wrong variable of integration. …
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Random variable as an integral of an indicator function
The layer cake representation of a non-negative measurable function, $X$, is applied in the proof of proposition 2.1 here.