Expected value

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Let $\mathbb{T}$ be a time scale. Let $X$ be a random variable with probability density function $f \colon \mathbb{T} \rightarrow \mathbb{R}$. The expected value of $X$ is given by $$\mathrm{E}_{\mathbb{T}}(X^k)=\displaystyle\int_{-\infty}^{\infty} k! h_k(t,0)f(t) \Delta t.$$

Properties[edit]

Theorem: The following formula holds: $$\mathrm{E}_{\mathbb{T}}(X^k)=\displaystyle\int_{-\infty}^{\infty} k! h_k(t,0)f(t) \Delta t.$$

Proof:

Example[edit]

Expected value of uniform distribution
Expected value of exponential distribution
Expected value of gamma distribution

References[edit]

Probability theory on time scales and applications to finance and inequalities by Thomas Matthews